They don't get it for free in Finland - your link says it is important that they are tenants, have a contract, and pay rent(possibly with housing assistance).

Homelessness can be caused by a variety and combination of factors. Plain bad luck, drug addiction, mental illness, etc, and Finland may have a different distribution of causes of homelessness than, say, San Francisco. It's possible that housing first works for the plain bad luck types, but will just enable the drug addiction types.