I searched through Google, Dell's own DJ forums and Apple's own iPod forums, and it seems like more people are confirming the iPod's Cyrillic capability. There was only one report of Dell's Cyrillic capability.
I know that Dell is a close relative of Zen Xtra (both are made by Creative), and their LCD and the menu are very hard to tell apart. Zen added this capability in the latest firmware. DJ's firmware is different, and there is no guarantee that Dell included this feature.