I have just tried to save a few column names in cyrillic and it worked as it is supposed to.
So I assume it should be something wrong with your server or database settings.
Please check your database if the collation (encoding) on the tables where data is stored supports cyrillic alphabet. If it does not, then change it to one that does support Russian. These tables are usually named jos_grid and jos_grid_columns. Check the collation on all the columns in these tables as well, since the collation can be defined for each column.