Sounds extremely fishy. Those robo-dogs are expensive, they are slow - too slow to really act as couriers, and this is supposed to be Moscow - A city in a country under rather strict tech embagos, where you can't get them at the next corner shop.
I can't tell too much from the picture but I believe that's a Chinese robot and China will ship to Russia from what I understand. And I've seen those as low as $1600 and anyone can order them online. It still sounds fishy maybe the cops want an excuse to get their own