I constantly find in translations of classic works untranslated passages. In English translations of Russian novels I find dialogue or narrative in French - as if the English-reading public, who clearly need the Russian translated, are expected to read French. Latin phrases are almost never translated. Do you people think we're all Latin scholars, do you think we don't care to know what's being said, do you just like leaving us in the dark, or are you too lazy to convey those passages?
I can't claim that all untranslated passages are this, but one reason certain Latin passages were left untranslated in the 19th century was because their English translations would have been considered obscene. If you look at a Victorian translation of the first century BCE Roman poet Catullus, you will see many examples of this. It was the privilege of erudite Latinists to understand clever and funny if bawdy poetry that could not, say, be discussed in mixed company.
Somewhat later, TS Eliot, an American/British poet, unapologetically published several poems in untranslated French. My French ends at bon jour, but from what Google Translate tells me, those poems are quite randy as well.
There may be other reasons passages of both prose and poetry are left untranslated, but prurience has certainly been one reason. Though in America, TV and film continue to be censored by someone who pretends to know better than I what I should and should not see, printed material these days seems fairly liberal in content, so if you look for a more recent translation of a text not fully translated in an older edition, you might find all the missing parts on full display and in full bloom. Happy reading!
I am not a translator, but as I understand that craft the primary goal is to render a text from one language into another while keeping the author's intentions and stylistic choices as intact as possible. In the case of a Russian novel with French phrases -- well, French would be equally foreign to a Russian readership as it would to an English one (i.e. in the 19th century -- when most of 'classic' Russian literature was written -- the wealthy & educated classes who made up a majority of readers in either country would be expected to know French, as it was the lingua franca of Europe; in the modern world this is not the case, but such are the perils of reading classic literature), so it would make sense to leave those phrases untranslated.
The cynical side of me thinks sometimes it is that the writer wants to appear well-educated. However, this is obviously not always the case.
Sometimes a phrase has a clearer meaning, sounds better or is far more succint in the original language e.g. veni vidi vici.
Sometimes a character will use foreign expressions because it is what he or she would do in real life (more common is Victorian and slightly later novels).
Occasionally it is a quick way to create atmosphere or setting.