Patriot works in Ukraine, they even got a few Khinzal. But of course any air defense is limited by available ammo and you need enough of the right kind of air defense in the right places for this to work well. The Ukraine is really limited by the number of available systems and ammunition. And for something like the Shahed drones you need other ways to defend yourself to avoid exhausting your precious ammunition for advanced air defense systems.
Russia also was shown to be nearly unable to intercept Storm Shadow/SCALP EG at the beginning. So the somewhat aging European cruise missiles were able to easily penetrate current Russian air defenses.