Is the QGIS cache directory automatically created?

The cache directory at C:/Users/Russell/.qgis/cache/ is actually the WMS-C/WMTS cache as @jef has mentioned. That's why it's in the Network tab of the Options dialog along with the WMS search address and proxy settings.

The naming is unfortunate but it has nothing to do with the render caching which is used to speed up redraws and other common operations. And to answer the original question, no, it seems to be created only when you use WMS-C and WMTS. Didn't exist by default in my .qgis folder either. It only got created when I started loading some WMS layers.

As said the cache is only use for network accesses - probably most useful for tiles in WMS-C and WMTS, but also use for the capabilities of WMS, WCS, WFS and for SVGs in case they aren't local. It's created on demand - ie. only when a network reply should be save for later reuse.