Not documentaries, but since you asked for movies, these might pass (while not all necessarily exactly "mediaval"). Note: being movies, they are (mostly) not based on reality, fantasy thrown in as well.

Sauna (2008; fantasy horror movie, but the setting is to the "old times")

http://www.imdb.com/title/tt1124394/

Rauta-aika (a TV series from early 80s; completely fantasy, based on Finnish folklore)

http://www.imdb.com/title/tt0190919/

Vihan päivät (TV-series from the early 90s, depicts the time around 1739 -1742)

http://www.imdb.com/title/tt0165015/

But as AFNord or someone said, Finland was part of Sweden (and later Russia), thus you don't necessarily find much stuff about "medieval Finland". Maybe it is enough for you to know that Finnish men were forced to serve in the Swedish army and fought the wars for the Swedish aristocrat. A bit like nowadays as well, Sweden has diminished its army knowing that Finland is the buffer against the possible space alien invasion from the east, just like in the past.

Now, now. You don't have to look at it that way, please, feel free to interpret the guesture as "we wouldn't have a chance against Finland anyway, so it's no use trying to stand up against them".

*cough**ahem*
[mumbling]
That should fool them, naïve Finns.
[/mumbling]

Yeah, that's right, you're certainly safe from us.

Kalevala is pre-medieval (pre-Christian).