Actually - I have read that there were photos taken of the Imperial Family.
However, when Prokudin-Gorskii escaped Russia during the revolution, he only took as many glass plates as he could. There is rumored to be one of the Alexei still in existence. (The plate not the photo) I think he is said to have hidden the ones he couldn't carry. But no one has found them yet. The could still be hidden, or they could have been broken or used for another purpose.
Because Nicholas II was so interested in new technology, I can't imagine that he would not have had photos taken of his family.
In a similar story, the glass plates belonging to Matthew Brady and other photographers of the American civil war were found to have been used to build green houses. Either those who found them didn't know what they were or just didn't care. Building a green house was more important to them than saving glass plates of photographs.