I might be corrected by someone else, but I believe the reason we say 'The White House' and dont use an article for 'Buckingham Palace' is that the whole name acts as a proper noun, and we dont normally use articles for proper nouns. Does that make sense?? So in 'The White House' .... 'The' isnt actually fufilling the role of an article, its actually part of the name.

Thats my take on it anyway. I think that would also explain why in writing we wouldnt write the White House. We would always write The White House.