Gleb, which GD Michael are you talking about?
if you mean GD Michael Michailovich, the eldest of the Michailovichis (i believe), then as far as i remember, a gorgeous palace was built for him on the Admiralteiiskaia Embankment by an architect Messmaher - i think it was in mid-1880s or around that time. GD Michael Michailovich, however, did not have a chance of enjoing long comfortable stay there. He married Sophia Merenberg, a granddaughter of A.S. Pushkin, the great Russian poet. (I believe she was his granddaughter). She was a countess but that was not concidered equal to the title of a member of a royal house...a sad story, indeed - the marriage was not recognised (by Alexander III?) and the couple had to leave Russia forever. They settled in England where they were given the titles of Count and Countess de Torby. Or, may be, it was Earl and Countess de Torby, if it was an English title. Well, actually, i am not sure if they were given the title(by Queen Victoria?) or they obtained one. I believe, their descendants still live in the UK.
But now back to the palace. The building is charming. I do not remember the exact address on the Admiralteiskaija Naberezhnaija (Embankment), but if you have a look (it is quite a short embankment), you will spot this palace-like structure. After GD Michael Michailovich left Russia, his Palace was used to accomodate the Embassy of the Kingdom of Siam (Thailand). Siam never lost her independence, never was a colony or a protectorat (unlike other territories in South-East Asia) and, therefore, mantained her own diplomatic structures abroad. The relationships between Russia and Siam were quite cordial. The Siamese Embassy (former GD Michael's Palace) was undoubtedly one of the most luxurious Embassy buildings in St.Petersburg. I do not know though, if the palace was given to the Siamese as a gift, or they bought it, or they rented it, or just were allowed to use it.