I don't think the marriage would not necessarily have taken place at the Consulate. The marriage took place somewhere in Alexandria, and was registered by the British Consul. Hence the marriage is on what are known as the Consular Indexes.
What I find strange (as did Frank's solicitor in the court documents when Frank was sued) is that Frank registered with the Consulate when he first came back to Alexandria. Alice (my great aunt) was trying desperately to find him and had received information that he was in Alexandria. She wrote to the Consulate who then denied any knowledge of Frank's whereabouts.
Then after he received the telegram saying that Alice had died they then registered the marriage between Frank and Alexandra.
How can they, on one hand, know that he is there through his registration, deny that he is there to Alice, register Frank's marriage to Alexandra & then sue Frank for bigamy. It seems highly irregular/suspicious (Frank's solicitor made the suggestion that the Consulate should be sued for fraud, according to his comments in the court papers). Or is it just different departments not knowing what one hand is doing whilst the other is doing something else. Either way, Frank, Alice, Alexandra and the others where the ones who suffered.