I have the game on STEAM, I bought it during a sale, bought the GOTY edition.

I bought the game in Europe, for euros, for a EU price, I currently live in UK, and now I see the game has (RU) next to it. Why?

Dishonored is region-locked. Were you in Eastern/Central Europe when you bought the game? It shouldn't happen if you bought it from the UK.

The RHCP version can be played in English, so it isn't so bad. However, I'm not sure if it can be installed outside the RHCP region. Does it work for you? If not, you should take it up with Steam support.