Queen Victoria presented the badge to Princess Alexandra of Denmark on the day before her wedding to the Prince of Wales, 9 March 1863. The Princess subsequently wore it on her wedding dress. Before the formal creation of the Order, two badges identical to those which were later to be used in the first class were given by the Queen and Prince Albert to their eldest daughters, Victoria. the Princess Royal, and Princess Alice, on the occasion of their confirmations in 1856 and 1859 respectively. As such, they were the first badges in the new royal family order and followed the example of George IV in the establishment of an order for ladies of the royal family. These early examples of the family Order were subsumed within the new Order, which had a two-fold role - for the royal family and for service to the Queen.
Therefore I think it's highly likely that all Queen Victoria's daughters wore their badges at their weddings but I have not located pics to show that.