Not sure how true the shared story about binance handing users' data to the russian government is but one thing am sure about is that when you send your coins to a centralized exchange, they are no longer yours (not your keys, not your coins).
Even there's no proof whether the story above were true or not, I always consider when we already submit any KYC to any sites, everyone already know who I am since I don't know what does Binance or any sites do with my identity. I wouldn't surprised if I see my face appeared on a websites, project etc because I can't do much about this, complaint and making a report to Binance would cost a lot and wasting to much times.
Don't forget even you've used a centralized exchanges without giving up your KYC, they can still recognize your IP, email, password, phone number and your name. Perhaps when they saw you're Russian citizens, they will track your name, email, phone number, and your transactions. If they can combine various information and cooperate with other website/social media, they could find you.