Wonderful find Bryce!! How on earth have we all missed that?
My immediate thought is -- Is it possible that the outer setting of diamonds on the central portion of the cockade brooch is removable?
I have to be out for a couple of hours, but I will keep thinking.
Addition: If we look at the central portion of the brooch as worn by Queen Alexandra, I think that, if the spiky outer section could be removed, what is left might look like what Queen Mary wore. Apologies I do not have time to enlarge both photos and do a comparison.