As are all other nation in Europe but they are still a part of the European continent. Much like Canadians and US'ers are North Americans. I think a bit of Russia is also European if only politically.
The Ural mountains and Black Sea are generally the geographical and geological border between Europe and Asia. While most of Russia's territory may be east of the Urals (and therefore part of Asia) most of Russia's major population centers are west of the Urals.
For quite some time Russia has been somewhat apart from either continent but these historic, social, and political issues are certainly beyond the scope of this thread. When it comes to game publishing Russia isn't part of "Europe" because it's economic infrastructure is largely separate from the "European" economic infrastructure. In this case "European" refers to the EU and well as those nations closely tied to EU neighbors. So while Norway isn't part of the EU it's fairly easy to release a game in Norway if you're also releasing it in Denmark and Sweden.
Since Russia is so large, and since its economy is fairly distinct from the EU, it makes sense that it would require its own publisher (1C I'd assume).
It's also worth noting that even within the EU publishing a game is hardly simple. From my understanding several of the foreign language versions have their own publishers - or perhaps they are co-publishers along with Bethesda.
2. Why is it still not in europe?
I've heard elsewhere that New Vegas isn't the only game that's encountered this situation in Europe. I'm not sure if it is the complexity of releasing multiple localized versions or something to do with EU bureaucracy though.