Yes the English font doesn't have those characters.
I don't consider this to be worth fixing as it would require a custom monolithic font for every language that can show every other languages characters.
That, or we don't allow non-english characters which seems like the worse option.
If you want to get ahold of me I'm almost always on Discord.
@Guki - why not create a mod that overrides the default font to add in russian chars?
Font name to font file definition is done in the locale (.cfg) files, then just update applicable data.raw entries to reference your new font.
You can get rough idea from my glyph font: https://mods.factorio.com/mods/aubergine18/Glyph (it adds new separate font, rather than updating the default fonts, but should be enough to get you started).
Better forum search for modders: Enclose your search term in quotes, eg. "font_color" or "custom-input" - it prevents the forum search from splitting on hypens and underscores, resulting in much more accurate results.