There is no grand staiurcase because the Alexander Palace is unique among Romanov palaces in being built with the main floor at ground level. The central entrance to the palace is quite modest, you walk right in - this was an intentional part of the design and Catherine's choice for Alexander's palace. All the Imperial life of the palace was intended to take place on this ground floor - 'level' with the rest of mankind.
One should think of the space between the colonnade and the central entrance as an open air ante-chamber. In fact this is how Catherine used it when she greeted Alexander and Elizabeth at the door when she presented the palace to them along wuth the traditional bread and salt in June 1796.