They do. Or rather, the immigration officer may ask for such a document for the purpose of establishing the purpose of the journey as well as establishing that the traveler has resources to return.
There is a huge difference between an explicit requirement and a requirement to produce a plausible story.
Well, my point would be. Most countries reserve the right to refuse foreigners, if they raise enough suspicion. I do not think the airline should be deciding factor here. The airline will be fined if the passenger cannot produce the
required documents (e.g. US VWP requires an onward or return air ticket leaving the North American continent within 90 days).
Schengen countries do not explicitly a return or onward ticket (see the relevant quotes above from the Schengen border code, which Belgium is bound to). The airline won't be fined. The foreigner must have plausible proof how he intends to leave Schengen in time (an onward ticket to Russia + a plausible story on how to obtain a visa would suffice).