Using cyrillic letters.

[MMatveyA]

When using Cyrillic characters, they are not displayed, and in the output it says that the character was not found in the lmroman9-regular font. This does not work only in special environments like DndComment or DndMonster. I don't know how to solve this problem.

Here is a part of the latex output:
Missing character: There is no К (U+041A) in font [lmroman9-regular]:+tlig;!

[BrianCriswell]

Latin modern does not contain Cyrillic characters. You can use \DndSetFonts to set fonts to ones that work for you. You can find the key names in dndfonts.sty.

You may want to change the font on a wider document level. This stackexchange post may be helpful.
https://tex.stackexchange.com/questions/65434/xelatex-modern-latin-and-cyrilic?rq=1