Well, part of the situation would involve the King making some kind of stand against the march, which as far I am aware, he was at least a quiet support of Fascism. Perhaps some kind of recognition that this kind of empire building will destroy Italy (and that would be an odd prescience for him to have--Victor Immanuel put up with Mussolini far, far too long to really show a lot of talent in governance)
But what the heck, its not implausible for him to change his mind, or perhaps differ in opinions.
You must recall that the Fascists were formed as a response to Socialist gangs and the rising power of the political left. Clamping down on the far right WITHOUT clamping down on the far left means that VI has thrown his own throne into the hands of Socialist radicals.
I suppose what happens, based on the timing of the event, the Italian Army presents itself strongly, and while the first elements of the Blackshirts are bloodied, the march is reduced to a small skirmish and Mussolini is humiliated as a result.
How long Democracy can survive in Italy even if Victor Immanuel supports it? Answer probably isn't past WW2. Figure that Italy had real stability issues. Besides the Blackshirts, you've got socialists and you've got at least two varieties of organized criminals. Vito Corelone might be a fictional character, but the power of the Italian Mob is not to be underestimated.
Throw in the Great Depression and the nation is running for a fall. The question isn't whether democracy fails--its how badly it fails. One would hope that Mussolini or an analogue wouldn't take over as a result. Sadly, I think Italy would not survive long past 1929 as a democratic state.