Locked phones are illegal in Finland for sure.
Not any more. In fact,
3G mobile phones could have been locked for some years now. Typically, there are 12 and 24 months contracts available. (The government has been trying to make 3G more popular by letting people purchase a 3G phone cheaper with a monthly fee.) "Normal" GSM phones must not be locked.
Before 3G phones with contracts, any way to lock phone was illegal. Even providing a phone cheaper (without contract) with a subscription was (and is still) illegal. The consequence of this was that operators gave new customers free calls/SMSs - even for 600 Euros (e.g. 5€/month). Eventually, this was also prohibited because it made comparing different operators more difficult and the operators focused more on those offers than the subscription itself.
Therefore, at the moment, there are
three ways to purchase a mobile phone in Finland:
1) 3G phone without contract (at the full retail price)
2) 3G phone with contract (at a lower price with a monthly fee and different call/SMS plans)
3) GSM phone without contract (at the full retail price)
P.S. Not all the 3G phones purchased with contract are even locked. Some operators only require you to pay the montly fee for 12/24 months - but you can use any SIM card (even from a different operator) in your phone.
P.P.S.
About Nokia and other manufacturers in Europe... The situation in Europe is very different from the US. Nokia (the biggest mobile phone manufacturer in the world) is a very large player in the European market. In the US, they have had some problems - but in Europe they are #1 with a wide marginal to the others.
Nokia has several factories in Europe. Even one here in Finland where only high-end models are manufactured. The salaries of the employees are good - at the same level as in any other Western country. AFAIK, Nokia is one of the last mobile phone companies that produces phones also outside of China. Many others (like
Apple, SE, ...) use only cheap Chinese employees.