But they could tolerate FInnish Protestants?
Yes, as well as Estonian and a significant number of Latvian protestants as well. Like all powers, the laws and edicts of Imperial Russia could be modified to fit current Russian needs and interests.
Imperial Russia never directly banned the practice of any religion or in the case of Christianity, a religious denomination. They did, however, enforce regulations confining non Orthodox religions or any sort to their "historical areas". Needless to say, the Russians got to define "historical area".
As a result, Protestantism was tolerated by the Imperial government, but not exactly affirmed in Finland, Estonia etc. Likewise, Roman Catholicism was tolerated in Poland, Lithuania, and in parts of Latvia and Belarus. The Russians never considered eastern rite Catholicism to be historical anywhere. Thus, it was exempt form any toleration practices.
Even in this period, their were exceptions given to facilitate Russian interests. France was allowed to sponsor one Catholic church in both Moscow and Saint Petersburg. Ditto for Sweden? and Lutheran churches. Likewise, Volga Germans were allowed to immigrate as Catholics and Lutherans and to construct churches- under certain limiting regulations. Italian merchants were also allowed to establish a Franciscan monastery and a parish Astrakhan.
After say., 1880, religious reforms allowed for the establishment of Catholic and Protestant churches outside their historical area so long as Orthodoxy was already sufficiently well established there to be clearly dominate. This led to the establishment of Catholic churches in the far eastern areas of Siberia and in Kursk.
Following revolts or xenophobic fears, the Imperial Russians dialed down what they deemed to be "disproportionate" Roman Catholicism in Ukraine and Belarus. They also fantasized about gradually phasing out Catholicism in Poland via natural attrition (no new parishes, schools, seminaries monasteries etc). I dont think the regulations to carry this out were ever actually enforced though.