Terrorism in Moscow, page-12

"...USA issued very specific warning of pending attack in Russia!..."

First, US warnings weren't specific. They were vague. "Something is going to happen, we don't know when we don't know where"

Second, US warnings came out on the 7th of March, warning it's staff not to attend any mass gatherings over the next 48 hours.
Crocus City hall was well secured over those 48 hours. In fact, there are reports of some of those terrorists being sighted at the Crocus City hall both on the 7th and 8th of March. They were obviously looking for an opportunity.

Third. There's no country on Earth that can secure each and every mass gathering occuring on it's territory indefinitely. Especially not a country the size of Russia.