In this case, expensive yes, important no. It had no strategic value, it was a very nice looking, historic but essentially empty building. It has not been used as an actual HQ for a long time. These are symbolic pinpricks that do nothing to change the course of the war. It is telling that they attack soft targets like this which are only weakly or not at all defended. We see this pattern repeated over and over. They couldn't hit the active navy so they hit some old ship in drydock that was under repair for another six months anyway. They couldn't hit the airfields from where Russia launches its bombers every day so they hit some backwoods airfield with unused transport planes on it. None of these attacks have any impact on the operations at the front, they are purely morale boosting exercises for the domestic front in Ukraine and the West.

Russia doesn't "let them", they just prioritize their defenses where it actually matters. You have to understand that this is a war against an enemy with the entire ISR complex of NATO at its disposal. Sooner or later they will get lucky and get in a hit or two. It is inevitable but also irrelevant. Furthermore pay attention to the time it takes them to plan, prepare and stockpile for attacks of this kind. The most they can do is about one of these symbolic propaganda hits a month and that takes a lot of effort and hugely expensive resources that they are not spending doing actually meaningful damage. In this case they expended a large number of extremely expensive cruise missiles that the West gave them yet only managed to damage an unused building. They had to fabricate an absurd fairy tale about killing X number of generals in order to justify wasting their scarce resources like this.

This is a pale imitation of the equally pointless but much more deadly V-weapon rocket attacks that the Nazis launched toward the end of WW2. They are acts of desperation and frustration at their impotence to change the situation on the battlefield that is inevitably heading toward their defeat.