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Well, there isn't much of a passenger traffic to the Russia and back, there are facilities to handle the freight, it's an EU border (implying long legal procedures regardless of a transport mode) and the roads there aren't very good (in comparison). Baltic states and Finland lack connections to the rest of EU and again, it's mostly freight only. So it doesn't harm rail transport that much. Less obvious, but much worse problem is that there are incompatible axle loads and clearances, russian carriages are heavier and wider. Too much for the most of standard gauge lines.

Much funnier example of a country with multiple railway gauges is Spain. There are three widely used gauges…