PAL code didn't do anything like context switches and I'm not sure how it could, given how the OS needs to know the specifics of the thread context in many scenarios.
Interesting Raymond continues to mention NT/Alpha now and then. If you run into him mention I have a collection of NT/Alpha artifacts and anecdotes he might be interested in.
L4/Alpha PALcode was limited to specific set of CPUs it was implemented for, so unlike VMS, NT or Digital Unix PALcode it wasn't available outside of those few machines.