You're saying if the CIA does so in Russia, it would lead to military confrontation?

Ed Snowden is a card to play for Russia but a quite small one.

Actually, the biggest risk he is facing is the same as Julian Assange. At some point, a change in policy in Russia (eg getting something back in return from the US) can lead to him being extradited to the U.S.

As for the U.S, I think it's not a big deal as well. His damage is done. All the incentive the U.S has in this case is to make example of him.

There is little political incentive for politicians to follow. Maybe some PR for the president who manages to get him back, but aside from that, Ed Snowden is not a big incentive for anyone at this point. No way anyone is going to war for him.