I mean, that’s one interpretation. The other one is the reality that the Soviet Union didn’t always treat political prisoners particularly well, and being a former/current western spy, he was pretty smart to err on the side of caution in case they were the ones in charge.

It’s honestly a great joke just because it can be so multi-layered given the character of Austin Powers being a free-love, hippy-ish, world-class spy. He genuinely could have both genuinely hoped that communism won, but also a smart tactic to potentially avoid being sent to a gulag, knowing that if he was wrong, the potential repercussions would probably be less severe.