When playing the non-historical option, the German should not be penalized for Finnish forces going beyond their boundary - but they are - in fact, they continue to be penalized even if Leningrad is captured. This should be corrected in the next patch.
This is deliberate. The Finnish Government had no formal treaty with the Germans and were very independent.
Even with a the non-historical option their core goal was to protect the interests of Finland. Advancing Finnish units deep into Russia when Russia was yet to be defeated (despite the capture of Leningrad) would have been a big call as they had a very small army and were highly vulnerable to an angry Russian Bear once Germany had been dealt with.
An additional consideration were the reasonable number of Russian forces still of-map to the North (Murmansk) that posed an ongoing threat.
The aim of the game is to model the independence of the Finnish Government and their overriding need to protect their homeland.