Interesting question. I can't recall ever seeing a photo of Aleksei with Sergei Aleksandrovich or the Vladimirovichi. GD Sergei was assassinated in 1905, so Aleksei would have been only a baby at that time. And given the imperial couple's relationship with the Vladimirovichi, I'm not surprised that I haven't seen photos of them together.
I have a number of photos of OTMA with GD Ella, but I can only find three that include both Ella and Aleksei. I'd hesitate to call them pictures of Ella and Aleksei *together* -- as you can see, they're really just in the general vicinity of each other in procession rather than actually posing together: