I'm guessing that you aren't one of those blues who forked out for visas flights and match tickets, only then to be banned from attending the game and offered no compensation either by UEFA or by CSKA - only to see plenty of CSKA fans admitted to the stadium in a game that was supposed to be being played behind closed doors. I didn't go either, but I suppose if you think it is melodramatic to sympathise and show solidarity with the blues who did, then that is up to you.
As to voicing my dissent by booing their anthem, again it is up to you whether you view that as naive, just as it is up to me whether I view it as apathetic or spineless to decline to do so.
As it happens I live in a constituency which is solidly Tory, and has been for ages. If I vote tory at the election, the majority will be 15,001. If I vote labour the majority will be 14,999. My vote therefore counts, in the grand scheme of things, for diddly squat. I still vote, because I wish to register my approval (or lack of it) of the government of the day. I will continue to boo the UEFA anthem for much the same reason. I have only one voice, but I intend to use it, whether or not vocalising my displeasure has any practical impact. Do you genuinely not understand this?
You may or may not be right that it won't have a significant effect, but you are wrong to say it will have no effect whatsoever - it already has. The official report to UEFA for a game last season included reference to the anthem being booed. Such a reference is usually the precursor to a disciplinary charge, and I personally incline to the Mark Halsey line in terms of whether authorities like UEFA or the FA sometimes seek to influence the content of the match report with a view to bringing a charge in relation to something they are not happy about. The resultant outcry against the possibility of the club being fined because we voiced our dissent appears to have made them back down. They wanted to stifle it, they quickly realised that to do so would be worse than to do nothing. It also worked against them in the sense that it is now more widely understood why we City fans feel that we, and our club, have been badly treated by UEFA.
These are small victories, but they are victories nonetheless. It will be a sad day if legitimate dissent is stifled because it is not likely to achieve anything.