Stalin sent a short note describing his disappointment but what were the main issues with his programme?
The note you cite was sent to the Soviet consul in Xinjiang Apresov reprimanding him for not having taught Shicai any better.
A more detailed reply was sent to Shicai himself.
A more detailed letter was also sent to Apresov the next day (it is sadly not available in English at the Wilson Center but is cited in Russian language articles on the topic which also cite the shorter note) which said that the Soviet Union had zero interest in any kind of a separate Sovietization of Xinjiang and fully supported China's territorial integrity. They had no interest in making separate deals with Sheng Shicai without the support of China's government either.