Arvo lied to his own group
If you read the translated dialogues, the Russians don't think you stole only Arvo's gun, if you gave him his bag back in EP4. They think you stole all of their supplies.
They keep shouting "Give us our medicine back!", "We want what's ours back!" and "You fucking scavengers!" throughout the whole shootout. They're convinced we're the bad guys.
I think Arvo did what he was gonna do when we first met him, and hid the supplies from his group. And then when they questioned him about it, he used our group as a scapegoat. Maybe he thought he would never run into Clem again.
I think he was planning to hide the supplies so he could make a run for it with his sister later, alone. Vitali and Buricko seemed crazy, I think they wanted to get away from them.