True the Finns and the Soviets hated each other, and had been involved in two very bitter wars between 1939 and 1945. But the Finns had lost, and gave up substantial territory, and during the Cold War were in a 'bind' in that they believed that there were still Finnish soldiers held captive in the USSR.
For these historical reasons the border between Finland and the Soviet Union was heavily fortified, and the reception of anyone who got across the border was - it is suggested - unhelpful. If the USSR did not directly threaten to make conditions worse for Finnish prisoners in Soviet hands, then at least the Finns may have been mindful that the return of escapees from the Soviets might be used as bargaining chips in freeing their own people. Finland basically walked a tightrope all those years.
I might add that to understand Finland's position you need to remember that it was invaded by the Soviets just after the outbreak of WWII while the Soviets and the Germans were tied together by their non-aggression pact. Although the West 'protested' against the Soviet invasion, no direct aid came to the Finns from the West.
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It's important to add at this point that the Finn's then comprehensively defeated the Soviet Army which left deep scars in the Soviet's pride.
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Then when the pact was broken by the German invasion of Russia, the Finns allied themselves to Germany and attacked Russia as well. Britain declared war on Finland, while the US stayed neutral on that issue. This time round the Soviets gave the Finn's a drubbing, although that they held out without being overrun completely attests to their toughness.
All this left the Finns with the sense that they had few friends in the West, and would have to make their own way in the world, which was dominated by a very bitter Russian army on their border looking for any excuse to teach the Finns a lesson.
Sweden on the other hand was more actively pro-western. So your average defector, having a sense of all of this might have preferred to take the longer route to Sweden.