Wodan:
Even if you play as Russia, you shouldn't let the nonuse of your unique unit convince you to make a play that's detrimental to your win.
I would argue just as stringently that if you think you'll have no use for Cataphracts, you shouldn't force the issue as Justinian, if you could win better using other units, or by skipping era warfare altogether.
Even as Russia, I find the Cossacks to be nonessential as the main bulk of an army, which is in direct contrast to Redcoats and Praetorians, for instance. The main reasons why Redcoats and Praetorians are so useful isn't because of their inherent strengths. It's because they're a type of unit you would usually build anyway, even if you didn't have a UU of that sort. That means that the UU and its advantages is used almost every game.
You could argue that this is, in fact, a reason to boost the Cossack to the extent that I WOULD consider it essential to get, but in that case, you'd be making a huge strength boost to the Russian war machine by making what's a nonessential unit so strong that it displaces the main army composition, instead of just making a commonly used unit type slightly stronger.
Of course, a Praetorian is
both a commonly used unit type and obscenely strong, but that's beside the point.
Of course, that isn't my point at all.
Especially as Russia, a major in the Military line techs is a strong military play because it allows you to access Cossacks right at the outset of acquiring Rifling. That's a very strong move, since the newly minted Cossacks on the backs of their newly minted Rifleman comrades will probably be all but unstoppable.
If you're doing that, you don't have many (if any) mounted units in the first place. And, upgrading is almost always a poor economic choice, and a bad idea. If it makes sense to build them anew, then it's a good idea. Otherwise, examine your situation. You've probably put yourself in a bad position, which means your strategy is trying to make up ground and has failed.
To the contrary, upgrading is absolutely an excellent economic choice as long as the upgrade is done in the field and with a specific and immediate military goal in mind. The classic examples of such upgrades would be the Warrior-Swordsman upgrade, the Cavalry Rush, and the Maceman-Rifleman shift. All these upgrades are, on the face of it, massively unsound, but for the fact that what you're paying for isn't, in fact, a unit but
time. Upgrading a unit buys you
time.
Instead of 8 Cuirassers and
maybe 4 Cavalry that will be built in about 7 turns plus 3 turns to get to front, you get 8 Cavalry on the field
now. The momentum gained in such a shift is quite often invaluable, well worth the money. For peacetime efforts, I agree that building up new units from scratch is often preferrable to upgrading old units, unless the preexisting old unit promotions are somehow at a premium.