I think this is entirely between Dynamo and Malkin. The main point is whether russian law treats hockey contracts as any other job contract and a worker/player can just walk out, voiding the contract. If this is the case, then Malkin can just walk out and Dynamo gets squat. But if the contract are binding, then it doesn't matter what Malkin wants, he has to play out his contract, unless the club releases him. Should he decide to leave, Dynamo will sue him personally for damages (not Pitt), in a russian court. And if the contract is binding they will win. He either pays or gets his *** thrown into the slammer the next time he sets foot in Russia.
I think the frustration of the russian clubs is understandable, considering the money they pour into player development. In North Amrtica the player supports the cost of his own development (well,...his parents) and he gets his money worth by the eventual pro contrcts he signs. Obviously a different story in Europe so it is normal clubs want to make some profit in order to keep the program going. If player's parents would pay the bills in Russia, then the entire program would colapse.
On the other hand, as some other posters pointed out, is ridiculous to compare Malkin with Sheva. Not only Sheva was a established star but the soccer market and hockey market are two very very different things. It wasn't ridiculous to pay 25 mil for Sheva transfer because Milan got their investemnt back many times over. No hockey market justifies paying this kind of money for Malkin or for any other player as a matter of fact. In the end these are bussines decisions, no owner would pay just because he likes some player. Abramovich invested huge amounts of money in Chelsea but the club still makes a hefty profit; it wasn't all just for the sake of soccer.