
I'm confused right now. So he is the king and who is the women beside him?

The king has 2 wives, empress Liza, who we already know, and this girl, empress Ilya, who has less influence in court because she doesn't have children. As I understand it, Ilya is the one the emperor loves and Liza came later as a political marriage. The emperor and Liza also don't get along because the emperor wants to leave the throne to the ML who is his nephew, instead of to the son he has with empress Liza. The other women I'm thinking are empress Ilya's ladies-in-wainting.

So is he a prince or a grand duke?

Both. Usually princes (the children of Kings and Queens) have dynastic titles granted by the king or queen. This allows them to own lands and have power, authority, governing rights (otherwise a prince would just be a freeloader with an empty title, particular those who aren't the crown prince). An example is the british royal family. Prince Harry IS a prince because he's the grandson of the Queen, but his actual official title is Duke of Sussex. Prince William's title is Duke of Cambridge.
That's why British people will often correct people when they call William and Harry's wives as Princess Kate or Princess Meaghan. Prince Harry and Prince William are referred to princes because they're of the royal bloodline but their
OFFICIAL titles are DUKES and not prince, so their wives are Duchesses. That'll change if Prince William becomes the crown prince, whose official title is usually Prince of Wales (the reason why Princess Diana was a PRINCESS because, Prince Charles is crown prince and thus Prince of Wales).
Why I am so annoyed by Roxy cause I feel she is very useless