Aha! Odd they couldn't even produce MH boarding passes. MH is alliance partner.
Jetstar actually states that they can produce boardingpass for their interline partners, so it seems Finnair is worse than Jetstar...
I am going to KUL too, but am forced to separate tickets as the HEL-SIN(AY) is award. Meaning I must prepare for a landside turn, which makes it more complicated despite the T1-T1 connection. Finnair arrives very late in the day and every now and then with an extra 1h delay, making it even more tricky. Jetstars last flight leaves 1:25 after Finnair scheduled arrival, it seems a bit tight for a landside turn