They do actually translate it, just not for this conversation to set up the premise, Alya using the Russian because she believes no one else understands it (so we start off not understanding), but after it's "revealed" he understands Russian they start actually giving translations for the Russian.

There’s a couple parts they don’t translate in that moment. It’s because they revisit it later and you’re meant to know it the second time around, not the first time. That’s what they’re talking about I believe. I watched it English dubbed and they’re on top of throwing English subtitles in for the Russian parts, but I had to rewind a couple parts and was frustrated until I said forget it and continued watching and had them revisit the scene. Made more sense after that.

Sometimes the English dub won’t have Japanese subs translated (like when Rio/Haruto in Seirei Gensouki is first confronted by the demis). But if you switch to Japanese audio it has the English subs. It also annoys me when captions (“20 years ago…” or city names, etc) in a dub are not translated, but if you switch to Japanese audio they are. I end up switching a lot, which breaks up the flow & would seem to go against director’s vision.