My opinion
Russia launching its own crypto exchange has the advantage of giving the citizens confidence in the crypto sphere and more citizens would want to adopt crypto trading and exchange.

on a second thought, governments can be tricky at times.
it could also be a means of overseeing the activities around the crypto sphere, this could mean influencing values to benefit their interest, tracking down crypto personalities by their activities.

It could also mean storing government treasures in crypto currencies which could bring another kind of return for the government.

From my research, Russia has many CEX currently but not by Russian Government.