That may all be correct but I don't think that the Russian authorities are going to target me, a foreigner because I downloaded some movie. They will also not share data with law enforcement in my country in any effective way.

Exactly this can happen in some western countries. Russia is bad and all but they might be busier shutting down VPNs and censorship of their own people than with piracy.

They are probably doing a nonfantastic job with that too.