I always prefer vegan if it's available. I don't like to eat animal fat, it feels awkward. Sometimes I do eat, but still it feels wrong.
How does vegan survive in Finland? Pretty well, sure it's slightly expensier to be a vegan here, but at the same time it sure is healthier. And veganism is interesting too, because it forces you to be more creative. At least you always know what goes down from your mouth.
I listed some Finnish product candies here
Turkin pippurit/ Turkish pepper (Fazer)
Panda Licorice (Pepe, natural, original, xxxl, lakumix, lakupala)
Brumberg (dark chocolate and rice chocolate)
Wiener nougat (Fazer)
If you want to buy pick and mix, check out if they have "liivate" in them, this means gelatin. Also E-codes: E120, E901 and E904 are animal products.
Wider list about candies, food products and other stuff available HERE (only in Finnish).