It is not necessarily a gift, it can also be a loan. Look at Countess Mathilde d'Udekem d'Acoz: on her wedding day she wore a diamond bandeau from Queen Paola. She has never worn it again.
Countess Stéphanie de Lannoy wore a family heirloom on her wedding day. So did Princess Sophie von Isenburg. Both were loans from their family, only for the wedding.