As you most likely know almost all the inhabitants of East Prussia either fled or were expelled between 1945-47, mostly settling in either East or West Germany. Neither of these names are common and if you look in dastelefonbuch there are only around 40 for the whole of Germany for Roschinski and even fewer for Kapinsky, + variations. Have you thought of picking out some of them and writing a polite letter to ask if they originally came from East Prussia and/or know anything about your family? It would only cost a few stamps and the worst that can happen is that they do not answer. I have known people who have tried this with success. Just a suggestion.
Another point. The story of dancing with the Kaiser. Most people emigrated because of poverty, lack of opportunity, education etc. If the family were rich and important enough to be dancing with the Kaiser I think it is unlikely that they would be wanting to emigrate. Perhaps just a family story? Good luck anyway.