With the help of some restorative sleep, I now think that Queen Alexandra was wearing her wedding day earrings at the marriage of Princess Mary.
As can be seen in the photo below the earrings sit in the same position, and the size seems the same.
The brooch pinned just above the cross may be the central, upper section of the Dagmar necklace. According to Roberts Queen Alexandra had the necklace adapted soon after her wedding so that various pieces could be worn separately. On p 100 Roberts has a photo of the back of the necklace showing how it can be dismantled.