Western leaders are beginning to recognize, if not openly acknowledge, that their unprecedented sanctions against Moscow are hurting their own countries’ economies without significantly crimping the Kremlin’s war machine. The fallout from the U.S.-led sanctions on Russia has ended the era of cheap oil and gas and contributed to surging inflation, supply-chain disruptions and a looming recession in the West. In poorer countries, by sending fuel and food prices higher, the sanctions are threatening livelihoods and political stability. As the West is now discovering, sanctions against a large, powerful state not only entail significant costs for the countries imposing them,...