This is going to depend on a huge variety of factors, including which Russian and CHL organizations hold a player's rights.
If a Russian is given a good development environment, with minutes in all situations and a real opportunity to succeed, in my opinion it's better to stay in Russia until you're ready to make an impact in the NHL. The KHL is the second best league on Earth and if the cards are right you play there until you're ready to go. Russia to NA is a huge lifestyle change, and rushing it when you don't need to do so is risky.
However, if you're stuck on an organization that doesn't let you play even if you're ready, yet makes you sit on a bench learning nothing, you may want to consider North America especially if you're a defenseman. Young kids need to play, even if they need to be sent down to do so.