Well, as far as the "don't go West" part of the scene, I couldn't really speak to it historically speaking (though I have some idea of what he was alluding to potentially: historically/artistically) but in terms of "Don't go the East" that one actually has quite a bit of historical context.

Eastern Europe has historically had quite an issue with anti-semitism. Prior to the Russian Revolution Jews in Russia were quite badly oppressed, relegated to live only in the "Pale of Settlement" which was a defined line of where Jews were allowed permanent residency in the Russian Empire. The borders of this pale were subject to change over the years but generally did not pass east of modern day Ukraine/Belarus. Couple with this regular bouts of anti-Jewish violence, known as Pogroms, meant that life for a Jew in eastern Europe was far from pleasant.

When the Russian Revolution happened all of that changed... on paper. The Pale of Settlement was abolished by the Bolsheviks and the legal restrictions placed on Jews were officially lifted. Indeed one of the foremost figures in the October Revolution and ensuing Civil War, Leon Trotsky, was himself Jewish. Throughout the 1920's active campaigns against antisemitism were waged. However, just because antisemitism was officially unwelcome in the new Soviet Republic, does not mean that it actually stopped. Simply put many of the social attitudes and prejudices held by the people of the Russian Empire carried over with them even after the revolution, this was intensified by Joseph Stalin's own anti-semitism which would serve to intensify anti-semitic activities through his anti "Rootless Cosmopolitan" campaign of the late 40's, which was a campaign of repression almost exclusively targeted at Jews (though again, not officially so).

Moreover, communist movements were fundamentally anti-religion. So even if a Bolshevik might not have harbored any resentment towards Jews ethnically/culturally, they may very well still have persecuted them for their religiousness.

This anti-semitism was not restricted just to the Soviet Union (indeed, it was sadly quite commonplace in much of Europe at the time) but also was quite problematic in Poland. Historically the home to much of Europe's Jewish population, anti-semitism had increasingly become a problem in interwar Poland thanks to a variety of social and political happenings that are beyond the scope of this question. Suffice it to say: many in Poland harbored anti-semitic feelings. This tension was of course exacerbated by World War II and the Nazi occupation. Though it is still a very sensitive and controversial issue, particularly in Poland, the fact is that a non-negligible portion of Polish nationals were complacent or actively collaborated with the Nazis in their anti-Jewish efforts.

Hopefully this gives you some context for the ending of the film, albeit preliminarily. Anti-semitism had long been a normalized and accepted attitude in Eastern Europe by the time of WWII, and while most of it did not go to the barbaric extremes of Nazi extermination it still was far from ideal. So when the Red Army officer is suggesting that they not go East, it is an affirmation that despite the great horrors they have endured there is still a quite intense anti-Jewish sentiment in the USSR and Poland.

For additional info I would recommend:

"Roots of Hate" by William Brustein, which covers anti-semitism in Europe before the Holocaust.

The film "Shoah" by Claude Lanzmann which goes into quite some detail on the role Poles played in the Holocaust.