Ejpsan Paris and London do not have a single major rail station until today. Basic reasoning is that at the time trains came around it was far too difficult to lay the tracks for a large central station in the densely populated and large towns, so they (as Moscow btw) all made do with stations that were serving certain directions of traffic.
Berlin after 1989 was in a special situation as there suddenly was a lot of empty space in the middle of the town.
Early rail also were privat-ish enterprises each runnning their own lines. At least in Britain and Austria, but I'd assume the same was true in Prussia and France. And well, they have their own stations, that they'd have to negotiate contracts to use their competitions rails and stations. Sometimes they even used different gauges. So they opted to build their own stations in the then affordable enough outer centre of the cities.
On the matter of a central railway station, Berlin isn't alone in getting one after 2000s, so it can't be put down as only the cold war divide. Vienna Main Station (what used to be the areal containing the East, South and Laa Railway Stations) was only finished in 2015.