The ataman's office, tucked inside a walled compound filled with camouflage-clad men building a Cossacks-only church, is festooned with portraits of Nicholas II, the last Russian czar.

At age 19, on the occasion of her wedding in 1901, Tsar Nicholas granted his youngest sister a 200-room starter home — a $453-million St. Petersburg, parapeted, neo-Palladian with a 47-window ...