Does anyone here doubt Coryne Hall's assertion that MK did in fact write that letter to Alix? She only credits a modern day Russian writer named Bohanov, I think, and not any actual document or quotation from a contemporary, believable source. I think she was far too smart to risk such a misadventure, and this would have been quite risky for her position in the Ballet. If she lost her 'Niki' and then her job, she would have had a very different life.
She and Nikolai knew the lay of the land, so to speak -- that he would have to marry a Princess. She mentions this in her own book, so this is more reason to believe that she would not have 'warned' Alix. I don't believe that her book lies. She is a bit of a narcissist, but it seems clear that she and Nikolai had sincere affection for each other.