The US generates $65k per capita vs. Russia's $11k. That we spend more on heating probably has more to do with having more money to spend on heating. I doubt very much that Russia's buildings' insulation is much better.
Also, appartment buildings are far easier to heat, not to mention a lot of soviet era appartments only have communical heating available. Which basically means the heating gets turned on in oktober for entire city/appartment blocks, Some of those don't even have the option to change the temperate/flow.
Unless municipal hot water is somehow much more efficient than hot water heaters (and I'm skeptical, given the heat lost in transit), then it doesn't offset the costs per person, because those costs still have to be paid.
In principle you can do the same thing at a smaller scale. Instead of burning natural gas or diesel/home heating oil in a furnace, burn it in a generator and heat your house with the engine coolant.
https://goo.gl/maps/VmaFQrrX5VvRKFdu6
The plant generates so much waste heat (around 10 GW) while generating electricity that the heat loss in transport is pretty much irrelevant, as the heat is free anyway from the power plant's point of view.
In Russia, it's most likely an inverse of venue class. Malls, public venues, indoor markets, govt buildings all like to save on ventilation.
With slightly open windows, you're losing a bunch of heat for very little ventilation.
Many buildings in Denmark are supplied with heat (for room heating and hot water) by a municipal system, but each house or apartment can adjust the temperature of the room heating, with radiator valves or electronic thermostats.
We're charged based on how much heat we extract from the system.