Unless I missed something (?) the objective cities are not displayed on the strategic map (F9) and/or on the mini map which is a pity in terms of planing the attacks, unless you know the Russia map by heart ... Am I missing something or is it as it is ? Thanks
IIRC, on the game installation folder there is a subfolder with different documentation including a very nice pdf map with all the cities, depots and objectives info. Very nice for getting a general picture and do some planning.