What is Legalisation?
Legalisation is a confirmation that the signature on a document is genuine.
The actual legalisation process consists of a stamp (typically an Apostille) and a signature. Legalisation does not have anything to do with the contents of a document.
The Royal Danish Embassy in the Russian Federation does not legalize the documents issued in the Russian Federation. The same applies for the documents issued in Denmark.
Both Denmark and Russia have acceded to the Hague Apostille Convention of 5 October 1961. The documents only need to undergo one single legalisation process at the Ministry of Foreign Affairs.
In case the documents issued in a country that is not party to the Apostille Convention, the Royal Danish Embassy in the Russian Federation legalizes the legalisation of the Ministry of Foreign Affairs of the country that is not party to the Apostille Convention. Countries that are party to the Apostille Convention: https://www.hcch.net/en/instruments/conventions/status-table/?cid=41