From a piece on the 1881 missing brooch, I found this in Vanity Fair, volume 25, page 272:

“The sapphire is one of extraordinary size and beauty, being well-nigh as large as a hen’s egg, and is one of a set of great value which originally belonged to the late Duchess of St Albans.”

This appears to describe a brooch like the one Diana had, probably not the Russian, can’t think of one in the Kent’s collection. For the Russian, I’m coming to believe it didn’t come from the Burdett-Coutts as I can’t believe they had at least three with such an amazing color to form a set.