If you aren’t familiar with it, download the Oscar app: OSCAR - Open Source CPAP Analysis Reporter
Learn how to interpret the values there, such as leaks, AHI, etc., and reflect those against how you are feeling. For AHI, a good target value is under 5, and large leaks must be below 25% for the device to function correctly. My own AHIs are under 3 on a long-term average, and for example, leaks this week were 1.2 L/min one night and 0 L/min for the others.
Then regarding the device itself—I assume everyone in Finland has a ResMed machine.
What is the humidification level? Does water accumulate in the mask? I keep mine on manual, and now in the summer, the humidification level is 0. If this is too high, the result is larger leaks. In the winter, the setting is usually 2.
What is the tube temperature, if you are using a heated tube? I have this turned off in the summer as well. In winter, the setting is 19 degrees.
Pressure range? For years, I used a pressure range with the auto-setting; it never worked optimally, but despite the range, the pressure fluctuations caused leaks and awakenings. I changed my pressure to a fixed setting (9, the previous was 9–11 if I recall correctly), leaks dropped to zero, and sleeping became easier.
EPR value: I personally find it best to keep this at 1. This means that during exhalation, the pressure is effectively 8.
Check the setting for how the device reacts to pressure changes if a variable pressure range is in use. By default, the response is faster, but there is also a “slow” option.
Also, it’s worth hanging the hose so it comes from above, so you don’t wake up to the mask leaking when you turn over during sleep.
Regarding mask types, find one that suits you. I have personally gone through over 10 different masks over the years, both through public healthcare and with my own money. The AirTouch N30i works best for me, though used with a chin strap and mouth taped shut. I’ve also tried numerous full-face masks, but for one reason or another, they just don’t fit my facial structure. It’s actually strange that for the first few years I could sleep with my mouth closed, but for some reason, that just isn’t possible anymore 
As for the pillow, the most suitable for me seems to be this Unikulma model. It’s adjustable, so I recommend trying it in-store if you feel your current one isn’t good. Astro | Ergonominen tyyny
Before that, I managed to try an X amount of Tempur pillows, Uinuja, a few Jysk pillows, and heaven knows what else.
During a cold, it’s worth asking for a prescription spray that keeps the nose open, like Ryaltris. It makes CPAP treatment significantly easier.
Even though my own cause for sleep apnea is a pure “manufacturing defect”—a large tongue, tonsils, and a slightly small lower jaw—weight management and lifestyle habits help, but they don’t eliminate the symptoms, even when I’ve been under 10% body fat.
No matter how much the device annoys you, you shouldn’t give it up if there is a clear need for it. If you change anything, I also recommend logging what was done and when, and tracking the changes. You should also have the patience that if you’ve slept well for 5 nights with certain settings and then have one bad night, you don’t immediately overhaul everything.
Those are the things that first come to mind.