Russia is on a good way: Germany already had a couple of wars, and with the beginning of 1904 the russian forces started the liberation of Germany - i just didn't want to wait until they have their WW1 infantry

Quite bloody, and i somehow miss the militaristic trait: promotions are slower and it takes a while until you have elite units and gain a great leader... the cossack cavalry only has 3 hps, they die pretty fast

And the units are really expensive: german cavalry: 450 shields; russian cossacks: 775; russian mounted infantry: 975

Is the high price thought to compensate the sheer masses Russia is able to spam?
By the end of 1904 continental Germany and Austria-Hungary are now part of the zarist empire. New capitals: Lüderitz and Malta - Austria somehow managed to conquer...

Next? Who knows... Balcan? Ottoman Empire? Japan? Two-front war against USA?
After conquering (half of) Persia I think i found a little bug and don't know if this has been fixed e.g. in v5.0 (still playing 4.1) already. Russia is able to build the Russian Overseas Infantry. Rightclicking on the entry shows the civilopedia entry of the normal Russian Infantry:
This only happens when within a city - rightclick on an existing unit shows the correct entry for the unit. But, contrary to this entry, the unit does not upgrade to the Russian Infantry WW1, it doesn't upgrade at all.