Here is an extract from Queen Mary by James Pope-Hennessy, which I feel supports my view.
Referring to a letter from Aunt Augusta, the Grand Duchess of Mecklenburg-Strelitz, to her niece Queen Mary -
“ The jewels of the Queen Consort provided another vexation: ‘Alix retaining the lovely little Crown I do not approve of’, wrote the Grand Duchess. ‘Oh! were I there instead of Minny!! more I dare not say.’ “ “Alix” refers to Queen Alexandra, the dowager queen, and “Minny” is her sister the dowager Empress.
That suggests to me that Minny was advising her sister along the lines of precedence in the Russian Court, where the dowager Tsarina held precedence over the wife of the ruling Tsar. So possibly Alix was encouraged by her sister to keep the consort's jewels, so much of which had been Queen Victoria's.