I know that there was a significant pan-Slavic presence in the Russian ministry at the time, but how did this play out when it comes to the Balkans?
No evidence has been uncovered that Russian agents were directly or indirectly involved in the Assassination of the Archduke, nor that the Russians had any knowledge of the plot. There are some allegations that Hartwig, the Russian Ambassador to Serbia, was in on the plot, but there is no supporting evidence here either. In fact, Hartwig seems to have been quite dismayed by the Assassination, and he was not alone, considering that Serbia was still recovering from the Balkan Wars and was in no position to fight a war against a Great Power like Austria-Hungary.