I can’t believe the Rooskies don’t have anti-air on their ships.
This Ukranian "expedition" by Russia has been far more revealing about the ineptitude and diminished capabilities of Russia's military than they thought. I wouldn't want to back them into a corner with their nukes, because all sorts of bad things can happen with those.
Some ships are more purpose built and lack full AA capability. For example ASW frigates don’t have much in the way of AA. They are designed to steam in company with ships that are AA platforms. They might have point defense but no AA missiles.
The Moskva HAD anti-air and anti-missile that obviously didn’t work.