I'm not sure I follow, but yes, if he has collected personal/(un)encrypted data, then he and the infrastructure he controls would be one of the weakest links wherever he is.
I do think the Russian response is quite a bit of projection, because they know what they would do to get the keys to Telegram's kingdom. It's interesting though that I haven't heard Elon opine on how weak Telegram's end-end security is since the arrest. You'd think he would warn everyone to avoid it?