When we were having our student exchange with American students, Sarah told us to pay attention when we talk Italian with them, not to talk too fast, not to use strange words and structures, and not to correct them too much when they talk!
Then, I asked Elena whether it was all right, in our exchange, the way I talked to her, the words I used, if I was too quick. That was mainly because Sarah told us they were intimidated by our English, and their Italian was not at the same level (consider they've been studying Italian only for 4 years).
I've always said to Elena that she could feel free to correct me any time I deserve it, she's never done it, not because I didn't deserve it, just because she's very kind! I corrected her only if she said incomprehensible words or totally failed the structure, and that happened rarely too.
I noticed that sometimes native speakers avoid doing so. When I talked to Sarah, or with my cousins, I realized that I had said something wrong (always after having said it!), but they never interrupt me. I like the idea of finishing my sentence, but I also appreciate the opportunity of improving my language, so I don't feel uncomfortable when someone corrects me!
I didn't. Last week I had an oral exam on linguistics with an American (native speaker) teacher, she's never corrected me while I was talking about the subject matter, but when the exams finished she corrected me 3 times while I was asking about my other marks... I made some very silly mistakes (...she didn't told us...), and I felt so irritated! And I thought about those things Sarah told us about correcting people that are learning a language...
I still think I need corrections, probably what irritated me so much is the particular relation I have with that teacher, and so it was not the correction, but the one who was correcting me! But probably I've also learned that when you are learning a foreign language you need to talk, first of all.
My best friend went to live in Germany, and when she was trying t learn German her boyfriend's family always corrected her mistakes (German is a very difficult language!!), and she hates them doing so. I tried to explain her that they probably had the best intention, but without a real success.
Italian and German are not so popular as foreign languages (German is becoming more popular, but still schwierig!), and so Italian and German people are not used to talk with people who are learning their language, while English people are used to, and so a bit more polite, probably.
Anyway, probably you shouldn't correct each and every words one says, but sometimes I found useful that someone, politely, underlines my mistakes, to help me improving!