In the context of the speech I think he must mean 'the march of Socialism and Communism into Eastern Europe and China. After the Allies prevailed against the Nazis, part of the division of previously free countries was according to who would "protect" those countries from such atrocities occurring again. After the "Cold War" began, the Berlin Wall was built through the middle of Berlin, Germany. West Germany and East Germany were formed, and everything the Allies had fought to liberate to the east of East Germany ceased to exist as Churchill or Truman would have hoped.
Churchill said this in mourning for the democracy he thought he had protected through WWII.'
Here is the paragraph in full:-
"A shadow has fallen upon the scenes so lately light by the Allied victory. Nobody knows what Soviet Russia and its Communist international organization intends to do in the immediate future, or what are the limits, if any, to their expansive and proselytizing tendencies. I have a strong admiration and regard for the valiant Russian people and for my wartime comrade, Marshall Stalin. There is deep sympathy and goodwill in Britain -- and I doubt not here also -- towards the peoples of all the Russias and a resolve to persevere through many differences and rebuffs in establishing lasting friendships. We understand the Russian need to be secure on her western frontiers by the removal of all possibility of German aggression. We welcome Russia to her rightful place among the leading nations of the world. We welcome her flag upon the seas. Above all, we welcome, or should welcome, constant, frequent and growing contacts between the Russian people and our own people on both sides of the Atlantic. It is my duty however, for I am sure you would wish me to state the facts as I see them to you. It is my duty to place before you certain facts about the present position in Europe".
