I don't think it's that easy to leave Russia, and in terms of skaters getting out, we have an instructive example in Kirill Khalyavin. He had two things going for him: his Spanish citizenship, and getting to work on relocating early on. It was still (per Sara Hurtado's comments) a complicated situation, I think because his wife and child are not citizens. They left family behind, and I've no idea if they were able to transfer any money out of Russia. And again, that's a citizen of a European country, and he got out in early March. Are there as many open doors for Russian nationals at the moment? Even if they want to claim asylum, they have to get somewhere where they can do it.
There's a lot of good will and desire to help Ukrainian refugees, as there should be. I don't get the sense that there are many opportunities for Russians trying to get out.