xmms seems now to be built that it displays cyrillic, but it doesn't do it properly... I get junk! Both in the file list from cyrillic file names and in the ID3 information. There seems some bug converting the utf8 to an index into the font(s) used for cyrillic.
I built russian/xmms but that's just a config for xmms and it behaves the same.
Addition/correction: It shows cyrillic characters when they are used in the ID3, but not correct, and for UTF-8 file names from the filing system it shows something else which is junk...
XMMS can't handle UTF-8 or different character sets, so unless you have ID3 tags in a particular eight-bit encoding (say, KOI8-R) and matching fonts in the same encoding, it won't work.
If you need this capability, you should investigate a more modern audio player such as audio/audacious.
I don't know how you even built russian/xmms since that port has been removed for a year.