Some spies in the USSR did just get vanished, especially low-level domestic spies. Yeah the American dude running around and being caught for spying would probably get the media circus, but the mid-level manager he gave some cigarettes and money to in exchange for information about the production levels at the factory the manager worked to might instead find himself quietly arrested one evening, tried and sent off to the gulag by the early hours of the morning. You didn't really want or need to make a spectacle of those kinds of spies, since everyone already sort of had an idea of what happened.