You do realize that crossing a border is illegal, even if there's no wall, right?
First: leaving Russia without a permit is illegal and punishable by fines and/or prison.
Second: Entering any country without a permit is illegal and will get you deported and banned from entering it ever again.
Merely being Russian does not grant anyone asylum rights. Poland and the Baltic states, for example, won't consider any asylum requests, even from persons who are being conscripted. At most, the process can be slowed down with appeals to last a year or more, but it will, almost certainly, end up in deportation back to Russia, followed by Russia prosecuting the deflectors.
Even North Koreans get deported back to NK, despite the fact that the country is considered to be hellhole by pretty much everyone, everywhere.