The police in Finland are a national organization (cities or provinces don't have their own police, they are all under the same organization) and they have jurisdiction over a lot of permit and license matters, like residence permits, raffles and lotteries, and in this case the raising of funds. This side of the police administration is taken care of by the Police Board instead of any local police department. They answer directly to the Ministry of the Interior. They do not investigate crimes or prosecute people, the Board is a purely administrative organ. In other words Wikipedia is not under criminal investigation, though the Board could refer this to a police department in Finland to see what they make of this, since the police departments are responsible for actual investigation. Requesting a statement from an entity that may be raising funds is a pretty regular bureaucratic procedure, in a sense.
The problem here is not that the police board have "too much spare time" (my personal experience is the exact opposite, and reading the request, it would have been written within an hour or two by a junior official), or that they are petty power-hungry tyrants out to suppress the freedom of information, it's that their job is to interpret Finnish law and the Finnish law when it comes to fundraising is terrible and about two decades out of date. Hopefully this will get enough media attention in Finland to start a political discussion that leads to a proper reform of the law.
I doubt they expect the police will be able to initiate anything against Wikipedia, but they would be negligent in their duty as public officers to not do anything about the issue once it came to their attention.