At first all spam messages were of Latin origin and spam-filters’ developers, represented for the most part by Western companies, were aimed at filtering these ones only. Later on spammers switched into Cyrillic, too. But since the bulk of spam is still in Latin, there are some difficulties to filter Cyrillic spam.
To save your Cyrillic correspondence from being filtered as spam without a prior analysis, check the “Allow Cyrillic texts” box. Otherwise such e-mails are likely to be marked as spam. “Allow Chinese, Japanese, Korean text” option works the same way.