Just a final update everyone. After the pointers received on the forum, I had a look around the internet and found an online copy of David Sinclair's "History of the Aberdeen Volunteers" This contains an Appendix that lists members of the various units who attended the Royal Review Edinburgh Monday 18th September 1905.
B Company of the 5th Volunteer Battalion Gordon Highlanders have Sergeant J Murray and Private A Pearson listed as attending. B Company were based in Laurencekirk. Also, if you look at the photo I posted, you can just see the NCO chevrons on Jim Murray's right arm so I think this one is nailed down tight.

Thanks again to all,

Iain