'They fled Russia' means that they left Russia.
Either
fled or
fled from is possible. You see, the preposition
from is housed within the verb's meaning:
flee, verb. (past tense fled)
1. to run away, as
from danger or pursuers; take flight.
2. to move swiftly; fly; speed.
3. to run away
from (a place, person, etc.).
Source:
flee - Definitions from Dictionary.com