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The effectiveness of security screening at airports around the world is variable. If the Finnish authorities permit passengers arriving from any foreign airport to enter the secure zone without screening, then they are dependent entirely on these foreign airports to protect the security of flights departing from Helsinki. And furthermore, even if the security of airports with flights direct to Helsinki could be assured, what about the airports which connect to those airports? Clearly, this is an unacceptable security risk.
In general, Schengen airports will only allow passengers screened in other Schengen countries in to their secure zone without being screened again. All other passengers pass through security again in order to ensure that the screening meets some minimum standard.