It is a unique and famous place, yes, but "Buckingham Palace" is actually the name of the building -- and the name does not include a definite article.
By comparison, "the White House" is always used with the definite article, partly because without it, it would be possible to mix it up with any house that was white.
Strangely, we usually use the definite article with names of ships: "the Queen Mary" (as opposed to Queen Mary, who was a person), "the Enterprise", "the Millennium Falcon". But usually, we don't do this with names, unless the definite article is part of the name.
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