There is actually very little downside to Finland joining NATO. It maintained neutrality for over 70 years in an attempt to coexist with its aggressive neighbor. Now that Russia has shown itself to be unapologetically imperialistic, and certain factions among the more militant Russian mil bloggers are calling for the invasion of Finland, their decision to join NATO makes perfect sense.
As to providing a strain on Finland economically, it already spends 2% of its GNP on defense (the NATO target for all members). It has one of the most robust and capable militaries among western nations. It has always been wary of Russia and has been prepared to defend against the implicit threat posed by its volatile neighbor and the sharing of a long border with Russia.
As to being subject to Russian sanctions, Russia has little to offer Finland economically. Russia is primarily one huge gas station to the rest of the world. As the rest of Europe has demonstrated, there are alternate sources of supply. Reliance on Russian petroleum products is quickly becoming insignificant. What you describe as cons are actually not.
But for Russia’s belligerence, Finland would have continued its neutral stance, trying to coexist both with the West and Russia. It is merely being pragmatic in the face of continued Russian aggression and the very real threat that they could be next .