I noticed sale to Russia this morning although it's been some time I have done excluded them and did "Apply to all listings" on "Excluded Shipping Locations", I still see sales to Russia.
When opened the listing, it has no exclusions. When editing in SYI, exclusions are present and enabled. Even tried to uncheck exclusions in SYI and re-apply through Site Preferences. No effect.
Seems the feature is broken.