Jimmy followed Frank for a stretch when he suddenly realized something was off about their destination. Their car stopped by the road, right next to the Russian Embassy. Jimmy didn't park behind Frank; instead, he drove on for quite a distance, putting space between them.
Frank and his crew didn't mind; after all, they were already retired old men. Even if they were spotted, it wouldn't be much of a problem, especially since they were already being hunted down and weren't even sure they would survive. Who cared if they were seen making contact with the Russians?