Interesting information concerning John Shade ("There are hints in Pale Fire that Shade has or has had, a younger brother"...) Could you be more specific?

I believe C.Kunin associates Diagilev and Dangleleaf. She can confirm that and, if I'm right, at least in ADA there's a reference to him.

I'm unsure about VN's relation to the ballet (you wrote: "I think that Vn did not mention Diagilev because he was not interested neither in ballet no music"), but he mentions Nijinsky and his costume for L'Après Midi d'un Faune" (I'm not totally sure, but this entails a reference to Debussy, too) in PF, and we find Nikinsky even in Lolita ( I have no access to bibliography but I remember a fantastic image of institutionalized Nijinsky, jumping up, with an impassive face, that's been reproduced in "The Nabokovian" - and it was referenced to a description of how Quilty was airborne by a shot delivered by HH, in Lolita).

In VN's correspondence with dear Bunny I found no signs that "VN's relationship with this brother was a fraught, even tortured one of guilt and shame.,"as you say. In other places, as in certain childhood scenes in SM, he certainly expresses guilt towards his younger brother, even tenderness (it's all a matter of interpretation, sure). He once also distinguished his more sedate group of friends, from his brother's successful crowd at College, in England.