Had Victoria Melita and her sisters been born after their father became Duke of Coburg, they would still have been Princess of Great Britain and Ireland - their father did not lose one status, but gained a second. Equally, Charles Edward, Duke of Coburg, reined a Prince of Great Britain and Ireland until he was deprived of this by virtue of the Titles Deprivation Act 1917.
John van der Kiste's book on Xenia mentioned Olga and Xenia meeting several times between the wars, but I think in Denmark - I will look it up.
From what I remember of Marie Louise's book, she and her sister did nopt encounter serious problems in World War 1, but both of them were very active in wartime charities, which may have made a difference. Marie Louise turned her girls' club in the East End into a military hospital. Strangely enough, in 1916 my grandmother, a pianist, was asked to join an organisation giving concert for troops in France. The original letter is at my parents' house, and the organisation's patron is 'HH Princess Helena Victoria of Schleswig-Holstein'. Alas, my grandmother's parents made her stay at home. She was 25 at the time.
Ann