The prominent communists in the Soviet party had largely been murdered after the Moscow processes, left the country, or been exiled to Siberia, by the mid '30's. To the extent there were any communists left in the party by then, it was people who were too afraid or too weak to stand up to the regime.

To the extent the KGB were selected for ideological purity, they were initially selected for adherence to the ideals of a Stalinist party machine that was mostly concerned with the protection of privilege.

It's totally unsurprising that they "turned hypercapitalist overnight" - you had a group that was built on accepting that using pretty much any means necessary to maintain power and privilege was perfectly ok.