Oh yes. It's been a while since I thought about this. UFT operates in a pre Unicode, pre Windows 95 environment.
The font substitution will only work with certain specialty single byte fonts. "Modern" partial unicode font sets in Windows will default to the English/Latin Characters.
ER Univers 1251 was a font that would work with Cyrillic characters on some UFT reports. It was previously available for download somewhere on the Internet.
Even then, you may have trouble on other UFT reports that export in Rich Text Format (RTF) unless you use an "old" Text Editor such as the one included with the UFT program or Word 6. Word 97 and later may default back to Code Page 1252, English/Latin only.