In Vegas, Shane asks if he likes Russia and wants to go back, to which Illya says it doesn't matter. Illya is great at appearing closed off, while Shane is visibly heartbroken, so we feel for him. But let's not ignore the obvious information in front of us

During their 1st meet-up Illya admits he had a secret hookup in Russia, Shane asks if that was safe. He tells Shane he's on the roof because he's going back soon, but Shane doesn't understand. At sochi, Carter points out how brave it is for Shane's friend to be openly gay in Russia 2/