I know that Marie Feodorovna's colletion of jewels was raided by her daughters for the 1903 costume ball. In 1906 for the Duma the Romanov women put on the very best for the last real display of court jewels. I'm not convinced that all the jewels were ones owned by Olga as a result.
If her mother thought they were not impressive enough she could easily have talked her daughter into wearing pieces that she had no plan to wear that were still well known Romanov pieces.
Looking at Pappi he says also the jewels were from the imperial cabinet and the faberge fan was a gift from Nicholas II.
The diamond necklace was mounted in silver with a gold channel below and held together by silk threads to make it more flexible. The hanging diamonds are antique Indian pieces from the 18th century coming to a total of 475 old carats. The central stone in the string weighs 32 carats. The stones either side weigh between 23 and 16 carats. The central pear shaped diamond weighs 26 carats and the four flanking diamonds between 25 and 16 carats.