The loss of the Russo-Japanese War was definitely a substantial contributor to the growing domestic unrest which would eventually unseat Nicholas II and get his family executed. Particularly it lead to the 1905 Russian revolution, which was brutally suppressed but that experience played a major role in the success of the October Revolution.

Finland was not a mistake*, they needed a strategic depth for the white sea and the goal was achieved(the cost was high and the was the single goal from many). If Stalin wouldn't get that, he would be removed.