To answer your question, I did get married in Russia. I have both passports.
The thing is, we did the PR spousal application, and it never got approved or denied. I don't want deal with going to russia, getting the original document, and then dealing with the headache here. I was thinking of just doing the divorce in Russia, and then "forget" about it here in Canada. How does IRCC know it was a "legit" marriage, and not a scam towards me for a passport in Canada? As far as I am aware, and given the early divorce, that screams to me not a "real" marriage. So I was thinking going the first route u mentioned above.
If I do the divorce from Canada, first of all, I don't think she would be willing to do that (to give me headache) and secondly I don't know how about approaching it if shes not living in Canada.. But it does seem like in Canada divorce is much simpler. but that's assuming she would be willing to do it, which I highly doubt.