What did Nicholas II want for Russia?
The sad truth is that Czar Nicholas II did not want anything in specific for Russia, per se, but only for himself. He was a totally self-absorbed and extremely shallow person, who by an accident of birth ruled an immense empire, and ruled it badly. Of all political figures of the 20th century he was almost certainly the least qualified, least interested and least competent.
Nicholas II was a man of somewhat limited intelligence, who had no real interest in the details of the running of his country in any way. He was determined to continue his family's tradition of absolute autocratic rule, and only with the greatest reluctance accepted any sort of constitution or parliament in 1905. Although well educated and having a reputation for being intelligent, he never made any wise decision in his entire reign.
The only thing to be said about any goals he had for his country is that he decided to join the general European scramble for colonies, although the era of colonization was almost at an end. It was this which brought him into conflict with Japan in 1904, and led to the humiliating defeats at Tsushima and Port Arthur.
On many levels, Czar Nicholas sought to continue the Status Quo. The Czar was rather insistent on the autocratic rule of the Russian sovereign continuing, despite changing conditions both within Russia and outside of it. On some levels, the Czar failed to recognize this change and sought to stand against it. Not being a typical autocratic ruler in demeanor and tending to display a very approachable manner, the Czar sought to increase Russian influence outside of its borders. Both forays were not successful as campaigns against Japan did not yield the desired results, while the other one, World War I, helped to seal the Czar's fate. Mounting casualties and losses in land and economic conditions helped to facilitate the overthrow of the Czar in 1917.