Thank you for confirming, and apologies for the delay.
The History Collection doesn't list languages as each game supports them differently.
I was able to gather a list for you here -
Anno 1701 HE: No
Support article: https://support.ubisoft.com/faqs/55015/170184477
Anno 1602 HE: No
Support article: https://support.ubisoft.com/faqs/55014/896450606
Anno 1503 HE: No
Support article: https://support.ubisoft.com/faqs/55013/286255035
Anno 1404 HE: Yes
Support article: https://support.ubisoft.com/faqs/55012/296194507
As you can see, Anno 1404 HE is the only one that supports Russian in any way.
I'm sorry to be the bearer of bad news, I hope you can still enjoy them all!
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