http://www.messynessychic.com/2013/05/21/so-in-dubai-the-amo...
https://en.wikipedia.org/wiki/Visa_%28document%29#Exit_visas
http://en.wikipedia.org/wiki/Human_rights_in_the_Soviet_Unio...
Otherwise, (local politics, human rights aside) one shouldn't cross a frontier without considering the risk of being denied permission to come out again. Whims, national and personal, abound. Check in with your consulate -- remotely, if possible -- if that'll make you feel better.
And I'm not even pararnoid. Been there, done that. (The international travel, and jobs/labor (on and off the books) when it could be scary, that is.)
Crapshoot always. The odds change. Do the math.
Not to belittle desperate migration in search of a better life.