The US embassy in Vienna states that is is illegal to enter/leave the EU with a US passport if you are a EU citizen:
http://austria.usembassy.gov/mobile//passports.html
You are lucky you were able to leave without being required to obtain a Finish passport. I have heard of people being stranded in Poland for months because they were born there and considered a citizen, but did not have Polish travel documents. They had to obtain citizenship certificates and then apply for passports. I believe you were also lucky that the US embassy intervened - they really did not have to, because you were a national in your home country.
And by the way, every country treats foreigners different than their own citizens. Have you seen the lines at JFK for visitors?