There are many difference between a glide-back booster like the Baikal, and a Falcon 9 first stage.
Baikal would not only need wings and other aerodynamic surfaces, but also was supposed to contain a jet engine. However, perhaps more importantly, it would need to have structural rigidity to bending to be able to fly back horizontally. The result would be a significant mass penalty.
Falcon 9 only needs some landing legs, a little extra heat shielding around the engines, some grid fins, and some extra fuel. As it comes back in tail first, it only needs to be strong in the same direction it needed to be strong when launching. And they can use exactly the same rocket (minus legs and grid fins) in expendible mode where they burn all the fuel to reach orbit rather than saving some for the reentry and landing burns, for payloads that are too heavy to recover the booster.
One thing SpaceX discovered when they first started working on reusability was that high-altitude reentry itself was hard, not just the landing. After booster burnout at about 70km altitude, the first stage is travelling upwards fast enough that it reaches 125km. Their first attempts broke up on reentry, before the parachutes they planned to use were any use. Only by doing a reentry burn could they slow enough to survive to even consider how to land.
If I understood correctly, after booster separation the russian proposal was to fly in an upside down arc starting at 75km using the wing to burn off upwards velocity, so they're not reentering from nearly so high. Would be interesting to see that work - I'm sure they must have done the calculations, but still seems like it must be a pretty hairy reentry.