I am not sure whether there were thousands of servants at the Winter Palace. Besides, the Tsar and the Empress lived at the Alexander Palace. I believe they had about 100 people serving them, perhaps not counting the security guards. None of the people who lived in the palace were allowed to get married. If they did they were let go. One reason for it probably was that the IF would have had to pay higher salaries to them to maintain their families. Of course there were married people among the people who served or worked in the palace, but they lived in their own houses. Given those conditions, it sounds like fun if you had no family to worry about, had your meals, got decent clothes, medical attention, and lived in such fabulous surroundings. The servants also got real nice presents on religious hollidays or their name-days, etc. So it was not all that bad. Besides, once you got bored with your job, no one would keep you there by force!