Fridge Logic: General Orlov destroys the real Faberge Egg, thinking it's the fake. Only one character realizes this and flinches.
If Orlov did succeed in his plans to weaken the West's nuclear arsenal and allow him to lead Soviet Russia to glorious victory, where was Khan going to spend all the payoffs in a post-war communist world? Or worse, if the plan went wrong and the West retaliated with World War III?
Kamal is hardly the first capitalist Bond villain to team up with Commies though, and it's not like conquering Europe equates to immediate Soviet world domination. Like Kristatos and Blofeld he's a criminal so presumably Socialism would only have so much effect on him. Or like Goldfinger he could just be insane.