Is there a problem if I use files named using Cyrillic and not the Latin alphabet. For example if I want to optimize for Russian results and if I name a file : конструирование.php is there going to be a problem with the indexing of this page?
Google will try to 'westernise' some letters/words in other languages and charactersets. A simple example is ие, the last 2 letters of your example, translates to 'eaa' according to Google so even on a native language version of Google you will find results for terms that you may not have expected, e.g.
On another note though. If I were you, I would optimize my website for folder URI's only and hide the file extensions - like you see in the above example.
If you consistently use for example: www.domain.ext/folder/folder/ , it would become a lot easier to change the underlying technology without Google and other SE having to re-index all of your changed URI's.