In places with a less-established legal system it's harder to make money by above-board entrepreneurship and keep it instead of handing it over to local strongmen (two colorful examples that have stayed in my memory and unlike many others have become public and have also been described in non-Russian media - https://www.independent.co.uk/news/world/europe/valery-pshen... and https://abcnews.go.com/International/wireStory/us-embassy-ru... , but of course those are the exceptions because the usual result is complying with threats and handing over your business or most of it). But it's not really about Russia, it's a general issue with parallels in other countries as well. And of course, there's the issue of the local market; the financial advantages for a skilled tech person going towards entrepreneurship legitimately are less attractive in most places compared to USA; heck, even EU potential tech entrepreneurs often just go 'across the pond' to start their business.

If you can't get a work visa to a first world country, you do have less options than someone already living there; and the salaries offered by first-world "international software companies" in their remote subsidiaries tend to be 'according to local market rates' (the same "several thousand dollars per month" mentioned by the parent poster is a decent rate) and thus not as competitive with "black entrepreneurship" which pays according to global standards.