They were not impressed because Oswald angrily pursued a promised further meeting only discover that nobody existed under the name that was given him. Oswald also notes testily in his diary that he is called to a meeting with three officials in late November, and they appear to ask him questions as if they knew nothing of his case. In 1959 the KGB was all geared up for extracting intelligence from US targets abroad, but not from targets inside its own backyard. When Oswald arrived in Russia, there was no highly developed tourist industry. Foreign business, cultural, and scientific visitors were only starting to arrive in any significant number.
All intelligence agencies regard walk- ins with nothing but the deepest suspicion.
The Russians could have very easily made the deliberate decision not to attempt to debrief Oswald.