Perhaps, I didn't get into any trouble in Russia(and I was not only in Moscow, but in small 200km away from Moscow cities) because I'm white and speak fluent Russian. Anyway, as the saying goes "A journey of a thousand miles begins with a single step". Once, everything was built from just an idea.
I have friends from the USA, Sweden etc who have been living here for years without getting into any trouble. The best way to decide such things is to talk to someone you know who has already lived here.
And we don't quite have our "Silicon Valley" yet, though Bangalore has many outsourcing companies and offshore development centres where large companies in the USA or Europe offload work no one there wants to do. But yes, (as rjurney points out) there are cities with very large populations of programmers, Bangalore being the prototypical example.
As to everything being built from an idea - thats true. But its a question of whether that is the right idea for that place. No one can doubt that there is an abundance of brilliant hackers coming out of Moscow. But the 'silicon valley' model requires an abundance of social capital - and Moscow is incredibly impoverished in this area, despite being relatively wealthy, it has very, very little social capital.