Yes. CX may through-check your luggage from HKG to HEL. You don't have to see your bags till you arrive on AY.

As FINLAND is not part of the Schengan Treaty countries, you will not be clearing immigration/customs in France. After you arrivei in Paris, follow the signs to TRANSFERS . 1 floor down from ARRIVALS. There you will take a connecting bus to the respective terminals.

Don't know if FINNAIR uses their own lounge or codeshares it with AIRFRANCE. If it is the latter, you may not be allowed in if you're not taking J class on AY.