Yes, pretty much all the European royals are related to each other, considering that they are all related to several German families. I'd like to know the reason, but I don't.
In fact, English King George V (Queen's grandfather) and Tsar Nicholas were very close cousins who were very close to each other, they looked alike and they were often photographed together. (It's one of the greatest mysteries why George V hasn't helped the tsar in 1917)
For that reason, Russian Emperor was given a title of a commander of some British military unit, I forgot the name of it, but that is the same unit, prince Harry is in charge of. That's why they are in the same uniform.
Another funny detail is that they are not normally allowed to wear the uniform unshaven without the monarch's special approval and they were both with the beards.