Depends on the game.
E.g. Original Call of Duty, the Russians speak English, in a very Russian accent. I thought it was hilarious. If they delivered the dialogue in Russian 1) You may not fully understand and 2) it would take you out of the atmosphere of the game, as you're reading rather than being involved in the situation.
If it was a game like Monkey Island, appearing on a desert island and you character doesn't understand the language, then it should be native with subtitles, as it's adds to the authenticity of the situation.