Shortly before his court appearance in the southern Russian city of Rostov-on-Don, investigators stopped by Hennadiy Afanasyev’s holding cell to make sure he still planned to implicate his fellow Ukrainians, film director Oleh Sentsov and left-wing activist Oleksandr Kolchenko, as “terrorists.” “I told them all ‘yes, yes,’ so they’d think that everything was fine,” Mr....