> The way math is "built", with too generalizing theorems, non-constructive statements, etc makes it fall into traps like the Russel's Paradox
I don't think Russel's paradox is a problem with ZFC set theory. Building sets out of "the set of everything" is not used, and even people are careful to specify when the axiom of choice is being used.
> Building math on saying "this exists" without actually building towards what it is, is a bit of a "sin".
It's actually not. The idea is that you prove only what you actually need for the next step. A nice example is again in the field of differential equations. Ultimately people are interested in a solution, but to get that solution you need an approximation method, and to get an approximation method you need to know when does it work and how fast does it work, and to know that you need to know when a solution can be found and what properties does it have.
Constructivism is something that in theory might sound interesting, but forcing all mathematics to fit that model only servers to make certain proofs of true and useful statements far more complicated or even impossible.