Well, who is to say that Serbs woulnd't arrest him with fake documents if he tried fly to Russia? But even if he managed to reach Russia, I am not so sure that he would find any protection in Russia as he is not Snowden or someone of that caliber so Ruissia has some actual interest to protect him.
I somehow believe that he would have done much better if he had flown from Serbia than if he had gone to Montenegro. A few months ago, there were rumors that he was last seen in Serbia, and it is logical to assume that he arrived in that country by plane and passed control at the airport. The question is how the facial recognition system they use when checking every passenger didn't detect it in Serbia, but it did in Montenegro?
Serbia is a country where you can get almost anything you can think of for money, and it also has direct flights with Moscow. De Kwon obviously wanted to travel to a slightly better location than Russia, and that cost him his freedom. As for me, let him rot in prison for the rest of his life, even though the damage he caused is measured in tens of billions of $ that no one will be able to compensate for, the fact that he is no longer free is still a small consolation for the victims.