If the movie made it clear he was working for the Russians then I'm pretty sure that the movie would've been banned in Russia lol. I just assumed that they are in a not quite official part of the govt status like Shield is more international than beholden to the U.S. govt.
Given that the Russian market is quite small, it's nowhere near as financially prohibitive to p*ss them off as it is with the Chinese.
That's why a movie like The Death of Stalin was made, even though they knew Russia would ban it (as they did). By contrast, doing "The Death of Mao" would probably be a lot harder and less profitable.