Looking over some creatures that spend time in the Ethereal plane such as Ghosts and Night Hags, they are able to move between the Ethereal and Material planes, so they would be acclimated to both sorts of environments. As you mentioned, the Ethereal doesn’t border the outer planes, these creatures being pushed into one of the outer planes and losing this ability to go between Ethereal / Material planes could be their biggest detriment.
On DMG 49, these Ethereal creatures would be used to non-physical travel:
Traveling through the Deep Ethereal to journey from one plane to another is unlike physical travel. Distance is meaningless, so although travelers feel as if they can move by a simple act of will, it’s impossible to measure speed and hard to track the passage of time
The Ethereal Plane also disobeys the laws of gravity: a creature there can move up and down as easily as walking.
solid objects on the overlapped plane don’t hamper the movement of a creature in the Border Ethereal
I think things will vary a lot per creature. If these things are their normal, “real/physical” things would be pretty weird. But if they have experience in multiple realms, no so bad.
Alignments: Each plane has an alignment which could have an effect on the particular creature:
DMG page 59:
Each of the Outer Planes has peculiar characteristics that make traveling through it a unique experience. A plane’s influence can affect visitors in various ways, such as causing them to take on personality traits or flaws that reflect the disposition of the plane, or even shift alignment to more closely match the native inhabitants of the plane. Each plane’s description includes one or more optional rules that you can use to help make the adventurers’ experiences on that plane memorable.
The 3e DMG on page 76 mentions that ethereal creatures (I haven’t been able to locate this description in a 5e book so far) aren’t subject to gravity or falling and can move in any direction, so if ethereal creatures retain this “etherealness” in other planes, they wouldn’t be so poorly off, but this could vary based on individual creature too.
Other thought: PHB 238 Etherealness spell
This spell has no effect if you cast it while you are on the Ethereal Plane or a plane that doesn’t border it, such as one of the Outer Planes.
If it’s impossible to go “ethereal” does this imply that the ethereal state requires to be on a bordering plane? I suspect the Ethereal stinger in the outlands was a mistake, and creatures would need to have the ability to be in their non-ethereal form to leave a location linked to the Ethereal plane.
I think this question will fall into how your world has been built. See DMG page 43 under “putting the planes together”:
A way for spells and monsters that use the Astral Plane and the Ethereal Plane to function
Can a creature/object in “Ethereal” state can leave?
According to the Forgotton Realms wiki all things have an Ethereal equivalent. Do also, all Ethereal things have a non-ethereal equivalent, or do they cease to exist? Perhaps this is left up to the DM.
When a traveler crossed into the Border Ethereal, she and all her possessions were converted to their Ethereal equivalents, metal became ethereal metal, flesh became ethereal flesh and so on