At the time, Lenin wasn't that strong in power so as to risk such a move.
Let's see:
1. Shipping the Tsar back to Moscow (a city that was carefully avoided on the IF's journey east) would have posed several problems for Lenin:
a. He must have provided safety and security for the Tsar and his entourage.
b. At least, there would have been a public demand to have the Emperor stand trial.
c. At the most, there must have been Imperial sympathizers there who would demand, possibly even with the use of force, that the Emperor be put back on the throne.
d. Most likely, there would have been pressure, both from within Russia and from abroad, to let the Tsar go into exile, unharmed.
2. Keeping the Tsar in Yekaterinburg meant:
a. That the Tsar himself was out of the spotlight, his whereabouts unknown to must, so Lenin had complete control over the information pertaining the Emperor: where he was, with whom, etc. In other words, the Tsar and his family were hostages.
b. Deniability. If things went wrong, Lenin could always deny having any knowledge of the Emperor's whereabouts, blaming the local soviet for any problem.
c. Any rescue attempts would be difficult, given the low density of the population, access to weapons, and the sheer distance of Yekaterinburg to other cities where the Emperor could have had more of a following.