You've probably asked a few Finns whether they could correct what you say. Maybe they corrected you a little in the beginning. When you're at the very beginning of studying Finnish, you will make a lot of mistakes. At that point of your studies, correcting you would not be very useful. The sentence constructions handed to you by the native Finn will often be too hard for you to master right away. You might ask WHY it should be said that way, and then be annoyed when the Finn shrugs his shoulders and appologizes for not knowing. "IThat's just the way it is," they'll say.
First of all, most Finns are not linguists. They have learned in school what a subject and a verb is, but detached from reality. They've learned the grammatical cases by heart in one specific order (ines, ela, illa, ades, abla, alla), but don't need them in real life. They've learned what the partitive is, but they haven't learned the rules you've been dealing with as a student of Finnish. They don't know why you say "ymmärrän sinua" but "luotan sinuun". Finns don't need to know the grammar, because they can apply its principles by intuition. They don't care about the rules, because they don't need them.
Another thing is that you're in a conversation with this Finn you're talking to. You're not in school learning how to use the translative correctly. The point of a conversation is to understand someone and to be understood yourself. As long as you get your point across, a Finn won't bother correcting your mistakes. Finns make mistakes too while talking. They forget words momentarily, which will be lying on the tip of their tongue but still not come out. They start one sentence and then change their mind and say it in a different way or say something else intirely. There's no point correcting everything that comes out of a person's mouth. The point is to keep the conversation going and conveying the meanings one wants to convey. Finns will focus on the content of your message, not the form. My Finnish boyfriend will leave my mistakes uncorrected all the time. When I realize my mistake myself half a second later and correct it myself, he'll say "oh, right", but the mistake will have gone right past him while we were just talking. Sometimes he'll have an inkling that what I said was not completely native-like, but won't be able to put his finger on it. It's perfectly normal and you shouldn't be angry about that.
While you learn more and more Finnish, you will make less mistakes. That's the point at which you will, again, ask "your" Finn to correct your mistakes. You probably reasoned that - since you make less mistakes now - it's easier to correct them. And it is, sometimes. But while you get better and better at Finnish, you will also make less obvious mistakes. Mistakes that aren't really mistakes per se. You are using sentence constructions that COULD be correct, for all the Finn might know. He (or she) would probably say it in a different way himself, but your way sounds okay too. Don't ask them how THEY would say the same thing, because they'll be stunned and unable to answer that question too. Language is communication, and therefore it's hard for non-linguists to think of how they would say something without the actual NEED to say the thing in any situation. One thing that might help is if you describe a context for your Finn ("You're in the bus station and a stranger comes up to you and says.... How would you reply when you want to convey this meaning or sentiment?"). Inventing situations that your Finn can really imagine is hard though. And this takes time and might annoy him or her.
I have a friend who makes lots of mistakes. She wants me to correct her Finnish. Since I'm more linguistically inclined, I hear her mistakes, notice them all even when a Finn would focus on the meanings. Yet I rarely correct my friend. We're communicating, conveying meanings. It is not a language test. A conversation is not supposed to be filled with constant corrections and interruptions. Sometimes we'll have a ten minute break from the actual conversation, in which I'll correct EVERY mistake she makes. It's really tiring and I'm not sure she really learns anything from it. I think she's learning much by just talking, making mistakes, listening to my replies, and subconsciously absorbing everything she hears so that she'll make less and less mistakes as time goes by. Her writings I DO correct. Those are a lot easier, because I can stop and make a correction and still not interrupt the story that's coming from the pages she wrote.
So if you want corrections, try writing and handing your text to a Finn instead of talking. Tell them not to correct every mistake, but rather to look for mistakes you make often. Correcting every mistake would depress you, because there's bound to be many. A teacher would know which mistakes you made are the kind you can LEARN from at that point of your studies, a regular Finn won't. So the corrections will be more chaotic, harder to understand and - most of all - you won't get an answer to the neverending "why" that you're constantly confronted with. Go easy on your Finn, don't ask the why's but rather try to come up with the answers yourself, through my website maybe, or with a dictionary, or based on a whole group of mistakes that seem similar to each other. Analyze your own writings as well as you can. When you learn from the mistakes you make while writing, you will also learn to avoid them now and then while talking. That's my two cents of advice :)