As pointed out by Cristina and Beth, the VAT tiara was made of emeralds and diamonds, and not sapphires and diamonds. The New York Herald's caption is therefore erroneous.
The sapphire parure presented by King George V was Queen Victoria's sapphire parure (small tiara, necklace, brooch - I don't know if the bracelet was part of the original parure):
Here are a few more pictures of the wedding gifts presented to Princess Mary: