As far as Nicholas II's opinion of his cousins' affairs with MK, Nicholas would have disapproved of any grand duke's affair with any ballerina. He would have seen this as immoral. And, the fact is, the failure of so many of the male dynasts to marry equally made the family look bad. In retrospect, they would have been much better served by having the grand dukes marry who they wanted to marry rather than having so many affairs. Just my opinion.
As far as Kschenssinkskya goes, the situation was far more complex emotionally and practically for Nicholas than with anyone else. The tsar was a very moral person, and from what I have been told by his family, Nicholas and MK were both virgins when their affair began. Nicholas apparently felt very guilty about ending his affair with MK because he had (in his eyes) debauched an innocent. Therefore, Serge M's assuming responsibility for her was in many ways a relief for the Emeror's guiilty conscience.
MK was probably aware of HIM's guilt and played the situation to her advantage as much as she could. She likely got many special favors from Nicholas either directly or indirectly through Serge or Andrei.
And, not being received (which would have been unlikely for a member of the ballet and the sovereign anyway) did not mean he didn't see her. "Being received" was a formal situation about which records would have been kept by the very formal Imperial court. But, NIcholas regularly attended performances of the Imperial ballet, and it was "usual" for highly placed ballet patrons to socialize after performances with members of the ballet company. He probably saw her perform and there is every chance he spoke to her at such occassions - from time to time over the years.
As an example, MK was scheduled to perform at Nicholas' request at his Coronation. I can't recall how that little tempest resolved itself, but AF had a hissy fit over that one.
