Has any one seen a picture or know a refrence to a time when Alexei wasn't in uniform or in sailor themed clothes?
Not that I know of. According to Greg King's new book, "As an infant and a young boy, Tsarevich Alexei wore skirts and dresses and velvet or linen playsuits and was was occasionally dressed in a miniature regimental uniform for official photographs. These alternated with sailor suits, following the trend that was popular not only among Europe's royal families but also with the middle class. As he grew older, short pants gave way to trousers, but this was the only concession he made, for the tsarevich rarely appeared in private in anything other than trousers and a shirt, often worn with a cap emblazoned with the name of his father's yacht Standart" (pg. 249). The fact that the tsarevich's wardrobe was rather limited does not surprise me--as the Tsar's son, his clothing would have been largely formal and this trend seems to have extended to all other royal families. Also, Alexei was 10 years old at the start of World War I, a fact which affected his dress. This age is essentially the beginning of one's transition from child to young adult so this clearly did not leave much room for a transition. Like the Tsar, he wore a uniform to establish his connection with the Russian army. Alexei probably would have worn suits as a young adult.