At that time nobody thought about it...Something about a Soviet Sherlock just doesn't seem right. Sherlock is all about "thinking" and that was not approved of in Soviet Russia....
BTW, they censored out Sherlock's phrase "Oh, you've served in Afghanistan!" (When he meets Dr. Watson). Changed it to "eastern colonies".
Another fun fact - Sherlock's pipe was hand-made by Alexey Fedorov, the guy who made Stalin's pipes. At some point during the making of the movies the pipe was stolen so they had to find Fedorov's apprentices to make another.