I conquered Moscow, wiping out the russians.

The Colossus was built by the russians in Moscow,
but I don't seem to get any culturepoints for it?

Is that a bug or a feature?

v1.29f

Feature, If Russians would've reconquer Moscow they'd get culture still. Only the civ which built the wonder gets the culture

But you _do_ get the other effects from a conquered wonder, right?

Yes, you get