It looks like a Regence set with the "wobble" bottoms. I've only seen Staunton sets with those bottoms before. It looks a lot more normal on this kind of set since the round shapes are already in the bases of that kind of chess piece. Come to think of it I've only ever even seen those sets in books. (edit: it looks like quite a few modern versions of the wobble set are easily and cheaply available, but speaking of vintage sets) I don't know when they were invented and how many were made. It does seem weird none of the collectors I know have one. I can't speak to the price not knowing these things except it certainly seems a risky investment to me.
Collectors, check this set out. I've never seen one like this Russian set.
Closest thing I can find is this:
https://en.chessbase.com/post/christie-s-exquisite-chess-sets-auction
This is described as German or Russian. But the set in my link is more Staunton like, whereas (as tmkroll points out) your link is more Regency-like

Look at this https://www.etsy.com/listing/476239652/very-rare-antique-russian-wooden-chess?ref=lp_internal-12
It seems the asking price is ridiculous since there isn't info on how much it could have been sold for elsewhere. But honestly, I've never seen pictures of a set just like that. If you have any info on it or if you end up buying it (I kind of hope you don't spend that much money on something like a chess set) maybe show us.