Did many people know about the British, German, and Russian monarchies all being related in WW1?

Everyone would have known about these relationships; they were common knowledge. Everyone knew royalty couldn't marry commoners, and they couldn't choose people from their own royal families to marry; that would be too close to . (In the time you mentioned, the "willy-nicky" letters were especially famous; between two cousins--Czar Nicholas and Kaiser Wilhelm.) Moreover, royal families had been arranging marriages between themselves (often for political reasons) since the Middle Ages.