...I've 'always' held that multinationals have armies (or more accurately police forces).Copy that, but the closer you look at the issue, the more complicated it gets. No doubt a Henry Ford had a crowd of heavies ready to help with "labor relations," heh heh. And we've all seen a hundred movies where Big Evil has a bunch of suave and tactful minions (or the occasional Churck Norris clone) ready to put away the bad guys. Joel remembers how Ross Perot sent in his own team to rescue a couple of employees from a throng of angry Iranians (and provided the plot for Ken Follett's Wings of Eagles).
But there must be a lot of subtleties in degree. I suspect that the more rudimentary the local police force, the more naturally you wind with your own. Or you simply take over the local police force and run it as if it is your own. Or you do as we seem to be doing now--let the taxpayers pay for the training, and then cherry-pick the good ones for your private force.
Then there is the flip-side issue of the sovereign enforcer who gets too big for the sovereign. Don't even think about parkng in a free spot on West 10th Street in Manhattan--those spots belong to the Sixth Precinct. Meanwhile, whom did American pols fear more --Harry Truman or J. Edgar Hoover? Rewrite that previous sentence with "Russian" and "Joseph Stalin" or "Lavrenti Beria"--well, I suppose that one might be a push. Inside Hitler's Germany, Heinrich Himmler ran a full-bore state within a state. The Turkish military has long felt free to tell the Turkish government what to do.
Wheels within wheels: compare Japan, where the Yakuza operates as a semi-authorized private adjunct to the police, doing the jobs that are politically untenable for the police to do.
So, what's special about Gazprom? Maybe nothing, except possibly the fact that Gazprom is the only case I can think of where the private entity gets its private army by explicit government authorization.