I've just received a reply from the Hershey museum.
It includes a scan of a check for $300, drawn on the Hershey Trust Company and payable to the White Star LIne. I can't quite read the month in the date. It might be 18 December 1911.
Here's part of the e-mail.
Milton and Catherine Hershey spent a great deal of time in Europe. Much
of the time was spent seeking relief from Kitty's health problems, a
chronic and progressive illness. The illness was never fully diagnosed,
though it appears that it was progressive and neurological in nature,
with periods of remission. The Hersheys were wintering in Nice, France,
beginning in December 1911.
However, it turned out that Milton Hershey needed to return to Hershey earlier than the Titanic would permit so he cancelled his passage and
sailed on the German liner "Amerika." He arrived in New York on Saturday April 6 and returned to Hershey on the 7th. The Lancaster, PA
newspaper, "The New Era," interviewed Milton Hershey (and other prominent Lancaster residents) about the Titanic in conjunction with reporting the tragic accident. Attached is a jpeg of the cancelled check. Microfilm of "The New Era" is available at the Lancaster County
Historical Society.
(For those not familiar with the chocolate business, Hershey is a town set up by Milton Hershey to manufacture his milk chocolate)
It looks like a legend is true!