If the intent is to harass - lights on is the way to go, to make their presence very clearly known.
Could it still be the Russians? Yes, I guess. But if the first observation turns out to have NOT been the Russians, to me that's a bit like how the first crop circles turned out to be a confirmed prank - yeah, technically later ones could still be aliens but given how it started doesn't that seem implausible?
Not to make a comparison otherwise, of course believing in nefarious Russians is a lot more reasonable than believing in mischievous aliens. But I'm trying to make an argument about a causal explanations and a kind of data-generating process, ... not doing too great a job at it I guess.