Hello Sergey, and welcome to the forum!
The content of the A-Z jumpbar is defined in the localisation file.
Strangely enough, the Russian localisation file for MusicBee v3.4 does not include the Russian alphabet.
But the development version of the Russian localisation file does include Cyrillic letters А-Я.
You can download it from:https://www.mediafire.com/rusmusicbee
* Download the latest dev. file 'Russian (dev)_2023-10-29.zip' from the URL mentioned above.
* Extract the .lng file it contains into the 'Localisation' subfolder of your portable MusicBee location.
* Within MusicBee, select that .lng file through the Preferences.
* Restart MusicBee.