"They have a Russian accent."
Translation:Heillä on venäläinen aksentti.
The -lainen/-läinen is either an adjective, describing someone or something, or a noun denoting nationality. (You could argue that someone's nationality is a property being described...)
So in this case a person (I'm doing this in singular for simplicity although the sentence is in plural) might be a venäläinen from Venäjä. Their mother tongue is probably venäjä, giving them a venäläinen aksentti in other languages as well.
Oh gosh, yes they do. We of course think Finnish is really easy to pronounce, but every language has it's own quirks that (many if not all) speakers have a hard time leaving behind.
I'm really not an expert, but some aspects of Finnish pronunciation that come to my mind which may be hard for learners are the long vs. short vowels, double vs. single consonants, the very flat tone, some of the diphtongs,...