🚀 go-pugleaf

The Russian sorting works correctly in my Russian indexes (Windows FM 8.0.2 - 8.0p273)

Assuming that your index markers and SortOrderIX paragraph are using the correct unicode characters in FM 8, I suggest that you use a proper unicode font, such as Myriad Pro, in all of the relevant paragraphs: SortOrderIX, GroupTitlesIX, Level1IX, Level2IX, etc.
My guesses (which could be wrong) are:
1) Your Helvetica Cyr font is an older non-unicode 256-character font based on Windows Cyrillic code page 1251.
2) FM 8 is using the old font by back-mapping your unicode characters to display the code page 1251 characters. (Pretty clever, actually.)
3) The sorting algorithm is using the back-mapped character slots instead of the unicode slots. (Maybe not so clever, depending on the font.)
4) An added complication is that FM 8 might be doing yet another internal remapping when trying to use the older font. The details of how FM 7 and previous versions internally remapped fonts are pretty messy. (If you think that FM 7 stored Cyrillic characters internally using code page 1251 mapping, think again.) But suffice it to say that internally FM 8 might not even be sorting on the back-mapped character set that you think it is sorting on.

I'd be interested to know if using only unicode fonts for all index paragraphs and index config paragraphs solves the problem. My gut feeling is that for non-ASCII characters in FM 8 you should restrict yourself to fonts that have characters sets which FM 8 can use as is, without remapping - any unicode font, any Symbol font, Dingbats, etc. - or else somewhere along the way one of the old remapping issues is going to turn around and bite you in the...