The Winter War was a horrible affair. Though Finland retained its independence, at a high cost to both Finns and the Red Army, that came with a stiff cost.
Russia has always sought buffer states between it and those who they considered enemies (the West).
For the remainder of the 20th Century, Finland was a buffer between the West and Russia, kind of a political no-man’s land.
After the fall of the USSR, Ukraine made a similar deal with Russia as Finland maintained: stay out of NATO and give up its nukes, stay independent.
Now that Russia has demonstrated what its promises are worth, there is a great deal of danger to Finland if it doesn’t join NATO.