The Volga: Directly north of Duke's train car, there is a bandit camp (marked with a human skull inside a triangle). On the ground level you can find the cage with the prisoners. The note is on the table in front of the cage.
Good day to you Sever, and a firm handshake to all of your respectable people in turn!
I have been notified of doubts amongst our men, so I decided to clarify those.
The fanatics do not respect the code, they do things, like feeding men to that fish of theirs, that are simply unacceptable amongst respectable folk. That is why all respectable people are to treat them as cattle, not men - do not carve them up, but put them in pens. Our brothers from Astrakhan are always thankful for a shipment of those.
Good luck and good health to you in the spirit of freedom. Long live the Theives!