1. Why exactly would he have been so sure that his Western support would prevent him from being killed? The Russian elite is not exactly made up of people who are squeamish about killing, and the risk to the elite from killing him would have been small.
2. Why not just stay in the West and do the unscrupulous adventuring from there? Sure, maybe the Western backers would not have quite as much use for you that way, but you'd still have a lot of influence and a cushy life.