In general, I agree with what you are saying. My theory is that it’s better to take two equal but losing positions on separate areas of the board than to take one position of strength. The problem in this case is that the northern Russian stack and British-held oilfields, although in separate areas of the board, aren’t equal positions - Britian is much easier to take down and the reward is much higher. Therefore, in this case there is no alternative but to take one position of strength.
The assumption behind my first comment was that if the Russians link up with the British, the combined stack would actually be enough to create such a position and keep the Germans at bay. In a game where it cannot, what have the Allies been doing for 8+ rounds?
The two scenarios I can think of where the Allies still have a chance after Moscow falls, but the British are weak in the Middle East are 1) Japan does something like an India crush that targets Britain or 2) Britain and America have been making landings in Western Europe. In either of those scenarios, if Russia is to retreat, I agree they should not go down south.
If neither scenario applies, and the British have been attempting to build strength in the Middle East, yet it isn’t enough to stop Germany even with the entire Russian stack, the appropriate move is to concede.