I don't fully understand why this is important for Russia. Imagine they pay him in euros. As soon as he gets the euros he can exchange them himself to rubles right?
Not exactly. First the money is paid to Russian oil companies that are not all nationalized. For example, Lukoil is private. Large international companies will often not convert all money they are getting to local currencies because typically local currencies are less stable and expose company to exchange rate risk.
Second, EU and US sanctions froze Russia's central bank's euro and dollar denominated reserves (see Bloomberg). Central bank is the bank country uses do its banking so when Russia gets dollars or euros they end up frozen. If Russia's central bank assets were not frozen then Russia could prop up their currency just by buying rubles with the large war chest of dollars and euros they have. Technically, they could convert currency still probably using the non-sanctioned Gazprombank but all dollars and euros are at the mercy of USA and EU.
Third there are probably non-economic reasons why this is done. For example, it could be show of power, like military parade.