I think I understand the way in which Russell's paradox shows that the following principle is wrong:
" for every predicate, there is a set having as elements all the objects that satisfy this predicate"
Russell's picks up a predicate ( namely the predicate " x is not an element of itself" ) and shows that the corresponding " set" would have contradictory properties, which means that " the set of all x such that x is not an element of x" does not exist.
This counts as a counter example to the alledged " principle".
My understanding of Russell's paradox does not go further than this.
Now, if I am correct, it is often said that Russell showed, with this paradox, that the " set of all sets" does not exist.
What is actually the relation between Russell's paradox and the non-existence of the set of all sets?
It seems difficult to me to answer that the relation consists in the fact that precisely a set has the property of not belonging to itself. For it seems to me that Russell's paradox forbids to define a set in this way.
Russell's paradox does not in itself prevent a set of all sets from existing. There are set theories that do contain a universal set and are not known to be inconsistent, such as Quine's NF.
It is only together with Zermelo's subset selection axiom (the core idea behind ZFC, which claims that $\{x\in A\mid \varphi(x)\}$ is a set whenever $A$ is), that it has this effect. If a universal set existed, then the subset selection axiom would effectively provide a universal comprehension principle, and then Russell's paradox would produce a contradiction.
While it is probably not difficult to find a claim such as this in print, it is an ahistoric oversimplification. Russell published the paradox several years before Zermelo proposed his axiom system, so the ingredients for making the jump from "unrestricted set comprehension doesn't work" to the specific claim "there is no universal set" was not present at that time.