'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
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