I checked Osprey & Funcken, and came up with these results:
Carlos, you are right about the soviet cavalry, which was still horse-mounted and active as late as August 1945, in Manchuria against the japanese.
However, 1942-43, a number of "national" divisions were raised, 12 Kazakh cavalry, but also Chechen-Ingush, Bashkir...mainly cavalry.
From the artwork, photos and text, the Kuban/Terek Strelets are perfect for WWII, as is the officer in the Don-set, with papashka headgear. To my surprise, I found photos of Don cossacks in WWII, almost identical to the WWI Don cossacks Strelets set. I was surprised, because I did not expect the soviets to be happy with the Don cossacks dressed the same as they were when fighting their Red Army in the RCW.
Of course, the lances were not used any more, but the swords were kept, at least as a status sign.
A number of cossack cavalry units fought on the german side, in german uniform, but keeping the kubanka on their heads.
The Revell set is very nice, but out of production now. A pity!