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not an MBA. Capitalism didn't exactly thrive in old Russia for exactly the reason it does not thrive in any autocracy: political power trumps economic interest. By definition, only the Tsar would have absolute power, even over an individual firm, if he so desired. The moment our hypothetical Leninist firm becomes threatening to the status quo, the Tsar could simply order it out of existence.
Some socialist folks have, however, pretty much up and done did what you are talking about. Engels himself, for example, was the son of an industrialist, a manager, and later a capitalist himself, whose own efforts at reform are often cited as one of the reasons for the failure of his business, though I'm not altogether familiar with the details. Various experiments along these lines included La Reunion in Texas in the late 1850's, Jean-Baptiste André Godin's worker-owned Familistère in Guise, and, of course, the Owen's experiment in New Harmony, which may have failed in part because it was established as a community rather than a corporation. Then there was also the cooperative movement, employee ownership and credit unions, all of which were inspired by socialist ideals.
There are a heck of a lot of reasons why Lenin himself did not start a company, from the condition of Russia, to his own status as a political exile, to his personality. The most compelling reason, however, comes from the teachings of orthodox Marxism, (which Lenin himself helped to define as we know it today, but this bit is certainly pre-Lenin in its origins, and fundamental to Marx's original work). Marx teaches that capitalists must continually compete with one another to survive. Though Marx certainly took some account of advances in technology, nonetheless the means by which he thought capitalists would compete was through increasing exploitation of the proletariat (which also takes on a related technical meaning in Marxism), which means finding a way to get more out of the workers for the same or less money. One way to do this is through the process of capital accumulation, but it's also clear that Marx thought that capitalists pretty much had to gyp workers and maltreat them. Any capitalist unwilling to gyp workers and abuse them would eventually be bought out or driven out of business by those willing to do so.
There's much, much more, but the short answer is that Lenin didn't start a company for the purposes of establishing social justice because he thought (correctly, in my opinion) that such a company would have been driven out of business by the more ruthless competition.
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