Nicholas II lived almost always in the Alexander Palace.
that's true. however, one of his earliest homes with Aleksandra, were the rooms of the Winter Palace that his new sister-in-law, Elizaveta Feodorovna, had decorated for the newlyweds. he and Aleksandra moved from his old bachelor's quarters in his mother's Anichkov palace, into those newly redecorated rooms of the Winter palace. they continued to occupy those same rooms for many years, especially during the height of the Imperial Court's social season. it was primarily
after the birth of Aleksei that the truly began to withdraw, literally & figuratively, from the court life & the world in general. as their stress & anxiety over Aleksei grew, the time they spent in the Winter Palace waned. another reason for that, may have also been their desire to keep Aleksei's illness a secret.