Russia doesn't know that SHIELD still exists, it only suspects. If Bobbi and Hunter were to remain apart of SHIELD, and if Russia ever got wind of them being spies, then that pretty much confirmed that SHIELD was still operational. Russia would have a fit, demand answers, discover SHIELD has a team of Inhumans, make their own team of Inhumans, Cold War part II breaks out.
They got away scot-free because the Russian Prime Minister acknowledged that they saved his life and wiped out his opposition. Originally they were held because they were also suspected of working for SHIELD. Once Phil came along, he practically disavowed them in front of the Prime Minister ensuring that SHIELD didn't exist.
Pretty much this.
Oh, did anyone get wind that the daughter knew what the plan for Hive? I wonder if it's the same plan that Gideon has in mind or it's way different now?