Indeed, the house situated at 8 Grenville Street is no longer there, having been pulled down in the late 30s and replaced by Downing Court in 1938. It might not look very impressive from the outside but by all accounts the flats inside are very nicely built. I don't know about any flourish of whimsy, but the mews mentioned by Nicholas have been called The Colonnade since the late 18th Century, when they were part of the Foundling Hospital who intended it as the only commercial development on their estate - so Barrie would definitely have known it as it is now, albeit with more shops and carriages. He would also have known the Horse Hospital, built in the 18th century and now Grade II listed. One last detail about The Colonnade: it had assembly rooms where Dr Roget, author of the famous Thesaurus and resident of Bloomsbury, used to lecture. Barrie specifically mentions in the first scene of Peter Pan that one of "the reason Bloomsbury is chosen [as the place where the Darlings lived] is that Mr Roget once lived there".
The Cafe Romano has been there for many many years, and is probably a leftover from the thriving Italian community which settled in Bloomsbury and Clerkenwell in the late 19th century up to WW2.
As for the student hall of residence, this is International Hall, the largest of University of London's Students Hall, which was opened in 1962, replacing the original 18th Century houses which had been war damaged. There is no denying it is a grim building, but hopefully it will be refurbished or rebuilt more sympathetically one day...
Finally, may I try to correct Nicholas's impression of Bloomsbury? While it is undeniably full of students (it is the heart of University of London with all its colleges, after all) and full of tourists (being the home of the British Museum, the Dickens Museum, and close to the Soane Museum, King's Cross, St Pancras etc), it also has a thriving community with many local shops and lots of families living in the area, and an active historical association which ensured that Bloomsbury is now a conservation area and which treasures its literary heritage. I work in Bloomsbury and love it for its diversity, both in population and architecture (well, perhaps not the 60s stuff...).
(With thanks to Ricci de Freitas, chair of the Marchmont Street Association for all the historical information, to be included in his forthcoming book Tales of Brunswick Square.)