The Winter Palace is a location restricted only for the purpose of the "Wicked Eyes and Wicked Hearts" main quest. You won't be allowed to return to the palace later on in the game so you will have to do all the things during your first visit. It's also important to know that the game will prevent you from going back to previous areas of the castle (like the outside part or the eastern courtyard) while you're completing the main quest so always make sure to explore your surroundings before talking to new people. There aren't any standard collectibles in the castle like mosaic pieces or bottles. Instead you will be discovering new, unique types of secrets.
The way to unlock the location: On the war map, you need to select the "Wicked Eyes and Wicked Hearts" operation. Complete this operation by spending 30 power points on it. This operation becomes available after completing "From the Ashes" quest.
Recommended experience level: You won't have to participate in frequent fights during your visit to the Winter Palace. There's only battle you must win and one rift you must close. Depending on your choices you may also have to fight a boss, however it is possible to avoid the boss fight. The suggested experience level of the team members is 12-15, but if you plan on avoiding optional fights you may go to the palace even if your teammates are on level 10-11.
1) There are special types of collectibles in the Winter Palace. They provide experience points when you find them, however they're also used for palace's optional quests. Completing side missions and gathering additional objects (like the elven medallion int the quarters) will also provide you with new dialogue options at the end of the main quest.
2) You must take Sera with you to the Winter Palace if you want to gain access to Red Jenny's Stashes found on site.
3) The palace can be divided into two parts - there's a part available for everyone and there are areas reserved only for the special guests. While you're visiting restricted areas your approval points will gradually drop and when they're all gone you'll end the mission with a failure. You can renew approval by collecting specific collectibles and completing conversations with important NPC's.
4) You will encounter a bunch of closed doors in the Winter Palace. They can't be open using standard methods and instead you must Halla statues on them. Sadly there are more closed doors in the palace than available statues. This means you should read the guide to find out which doors lead to the rooms with best loot.