Each country is responsible for controlling illegal business activity inside its borders and the laws are different in each country.

Yes in Philadelphia if a client knowingly purchases illegal material he has committed a crime. the only defense is that he did not know the item was illegal. Even then he must return the item to the rightful owners and he loses his money. He can try to sue the criminals that sold him the illegal item to get his money back but that probably won't work.

So if a guy from Philadelphia bought a 50 dollar copy of photoshop from a Russian site Adobe has the right to accuse him of knowingly receiving illegal goods and that person would have no defense since $50 is obviously the price for an illegal copy.

A country cannot shut down a site that originates in another country it would be considered and act of war.
A country that blocks sites would be infringing on freedom of speech.
They do that in China and some other countries but in the US and the EU there would be a huge outcry.

Most countries do try to shut down sites that are obviously illegal, but often those sites just reformat with a new site and a new domain so the police are always one step behind. In the US there are police dedicated to finding web sites that sell illegal goods and I assume that the EU countries have these as well. But some countries like Russia just don't give a damn.

Other countries like china are actively involved in the pirated software trade. China is considered to be the leading source for pirated software and I don't think much business goes on in China without the government knowing about it.

A friend of mine once told me that Russia would never have its own software industry because nobody pays for software in Russia, you can't make any money. I think this is important to remember for game developers.

You can't make a game targeting the Russian market unless you plan on giving away the game.

Yes it is serious issue, lawyers, police and government officials talk about it a lot.