EU doesn't have a capitol. 🤣 But according to the idea of your comment I would probably feel more comfortable in Russia in front of Kremlin, as I've been to numerous protests in Slovenia where the police beat and fined protesters.
Discussion
The good thing about post-soviet slavic countries is that the police is generally not as strong and as armed as in the US. So during the protests it's more of a fair game.
I think I'd still rather protest in EU countries than in Russia, because even though they will beat you and arrest you in both, I think you have a larger chance to get out of in EU.