I will be travelling from Pakistan to Russia and to Egypt thereafter. I have already made a Moscow-Cairo booking on Egyptair. I recently contacted an agent to book Lahore-Moscow for me on Etihad. According to him, if I book two separate tickets, the Russian authority will cause a problem at immigration. I wanted to know how credible the information is.
As long as you have your Russian tourist visa, you shouldn't have any trouble. The immigration officers at Point of Entry do not look at your return flight, although they could ask to see one. They normally just verify your visa/passport/dates/photo and stamp it. I've never had Russian authorities ask for anything more than my visa and passport. I have been stopped at the exit and questioned about how much currency I have with me, but never have they asked about return flights.
As far as I know (I've lived in Moscow for 40 years), it is highly unlikely you will have any problems with Russian authorities.