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Queen Alexandra wanted to keep the role of first lady of the land just like her sister in Russia but when it was made clear to her that the British tradition was different she accepted her new role. There had not been a situation of a Dowager Queen and a Queen Consort in the UK for ages. I believe the last time before Alexandra and Mary you would have to go back to Catherine of Braganza and Mary Beatrice d'Este. So in living memory no British example existed.

In Russia the position of the mother of the Tsar being higher in rank than his wife was explained by the fact that she had been crowned before her daughter in law so had been empress for a longer time. The first Dowager Empress to get this preferred treatment over her daughter in law was Sophia Dorothea of Wurtemberg/ Maria Feodorovna, the wife of Tsar Paul I. When she was told her husband had died/was murdered she expected to become the new sovereign just as the wives of Peter I and Peter III had succeeded their husbands. When she was told her son Alexander would be the new Tsar she was compensated by remaining the first lady of the land and getting full custody of her younger children.
The new empress Elisabeth Alexeevna /Louise of Baden remained second lady of the land until her death shortly after the succession of her brother-in-law Nicholas II. Im not sure if she preceded her sister-in-law Alexandra Feodorovna/Charlotte of Prussia. I doubt all three ladies ever attended the same event during the reign of Nicholas I. Alexander I's widow died soon in the new reign but the mother lived three years into her younger son's reign.