As I was looking into the history of 19th century Scandinavia, I also followed some historical threads that made the other regions interesting places to visit, e.g. the Northern Crusades against pagans in the Baltic States, and how those crusaders, notably the Teutonic Knights, founded the state of Prussia. (One of Vaesen's running themes -- Christianity and/or modernity vs. pagan spirits and the "old ways" -- has slightly different expressions in the "edge countries".) If I get a Vaesen campaign that runs long enough, maybe the player characters can hunt werewolves in Latvia, or hunt down a holy relic in the Teutonic Knights' former stronghold of Koenigsberg, or find themselves in a multi-way cold war between Finnish nationalists, Russian authorities, and the Finnish equivalents of nisse and vaettir.
Plus international tensions and cultural differences do make mysteries more challenging. Just ask Jonathan Harker.
As to languages, I'd be tempted to hand-wave it unless it made the story more interesting. Sweden conquered most of the area at some point or another, and from what I understand Danish and Norwegian are roughly similar to Swedish, so I'll assume players have little trouble speaking with people on the coasts and in larger towns. (Maybe less so in Prussia.) If I wanted to leave communication wholly to chance, I might give a PC a single "language check", probably either raw Reason or Empathy (whichever is higher) with a possible +1 or more modifier depending on background. Success means the player can at least stumble through the language, with more successes indicating fluency. Failure means they never learned the language, and would have to spend at least a few months of study before they can attempt their next "language check".
HILDA: This isn't much of a pep talk. Can't you say, 'you can do it!'
ALFUR: Sure! You can do it! (Statement for encouragement purposes only. You may not actually be able to do it.)
-- Hilda ep. 9 (Netflix, 2018)