score:2
It depends.
You mention that you will be flying on to Phnom Penh on a separate ticket - this means that any automatic checking through of baggage is off the table, as your destination when you first check in is indeed Bangkok.
However, you can still ask at Helsinki checkin if your bags could be interlined through to Phnom Penh by the checkin staff, but whether this can be done entirely depends on the quality of the staff you speak to, the airlines you are flying with, and the agreements between those airlines.
If this is refused, then yes you will have to pass through immigration, then customs, then collect your baggage and checkin for your Phnom Penh flight as a brand new flight.