Although his parents were Russian born they must have skated for Uzbekistan for a reason. Maybe they are not fans of the Russian skating federation. They chose to live in the U.S. and not Russia after their skating careers. And for Ilia to be born in the USA. I seem to recall in the past Russia requiring its skaters to live and train in Russia with Russian coaches. Obviously Diana Davis is exempt from that. I doubt Ilia wants to relocate there since I noticed at Nationals that he has also started to consult with Raf.
There are lots of reasons they might have skated for Uzbekistan: the ability to compete, especially after the break-up of the Soviet Union, when they weren't limited to the top 1/2/3 in Russia, for example. That doesn't mean they have any bad feelings at all about Russia or the Russian Fed. I'm guessing at least some of the skaters who were granted passports from Georgia or Azerbaijan or other EU countries don't have hard feelings against their former Feds, and certainly not their former countries.
Likewise people who choose to work in another country. A lot of coaches left Russia, because the working conditions were very difficult, until the Fed and government got organized, with the Sochi Olympics being a big driver. (Example, coaches having to buy fuel for the zamboni.) A lot of them stayed in the US, Canada, Australia, etc. and stayed because they had relationships or children, and some went back later, like Rodnina, Krylova, and Karsonopov. It doesn't mean they don't like where they are, but it also doesn't mean they have cut their ties with Russia. And it doesn't mean that, were one of Margolio's kids to compete for Finland, where they've grown up, that that is anything against the Italian Fed (for their sport).
Perhaps in the Sochi cycle all skaters had to train in Russia, but the prohibition, for at least a while, was against Russian coaches in Russia taking on foreign students. At least Domina/Shabalin trained in the US with Linichuk/Karsonopov, Makarova with her parents and then Zmievskaia/Petrenko for the 2010 Olympic season. I'm not sure where Morozov's traveling circus was in 2014 (Ilinyk/Katsalapov). I don't think it's surprising that Davis/Smolin are able to train with Shpilband, since it's Ice Dance.
It doesn't mean that you're wrong in Malinin's case, but there are other possibilities.