It's not the Finland. It's Finland. We didn't gain independence from Russia in 1809, but 1917. 1809 the Russian empire annexed eastern Swedish provinces as the Grand Duchy of Finland.

As to why we didn't "join Sweden" again, in the proposed time frame Sweden didn't have the resources to either reconquer nor govern their lost provinces and considering we fought one of the nastiest civil wars in history right after declaring independence from Russia in 1917, amidst of an era of heightening sense of nationalism, it would've not only diminished the rather impressive sacrifice of those killed in battle (not to mention the tens of thousands of civilians killed in what is not supposed to call destruction camps in polite company) but also against the will of both the ruling elite and the various nations (or tribes if you will) living in Finland during that time.

Also, we didn't regain independence at any point in history: Finland as an independent political entity didn't exist before the Grand duchy and even then it was as an autonomous state, not sovereign country. Finland has never lost her independence, hence there was nothing to regain.

While life in any country wasn't exactly a walk in the park in any country before somewhat recent times, there's no evidence that the eastern Swedish provinces were treated worse than elsewhere in the kingdom. In fact, many peasants made it (comparatively) big by supporting Swedish war efforts (with particularly nasty results during the 30-year war) having granted tax evasions in exchange of cavalry service (note that nordic countries weren't comparable to feodal states, so peasant over here didn't mean indentured servant as it did elsewhere). At worst the eastern provinces could've been considered as a buffer zone inhabited by nations with rather strange languages and a general disdain towards being addressed. At all.

And sure there was some worry and not at all unfounded with regards to russia; after all, after twenty or so years later, they tried to re-annex Finland to the USSR. Which failed rather spectacularly.