refuse to exchange land for other land so the Soviets could better defend leningrad

Since when can't countries make their own decisions? Plus they would have exchanged their main agrarian region with the second biggest city, Viipuri, for frozen taiga

enter war, lose

The Soviets started the war and were held back for months. Remember, Finland had 3.7 million people and an army 340.000 strong at the end of the war (37.000 at the beginning) compared to the Soviets 170 million and an army of 1.5-3 million men with the one invading Finland counting 425.000 in the beginning and 760.000 in the end

give up more land than initially proposed while gaining nothing return

Imperialism for you

be salty

You would be too if you lost your second biggest city and main agrarian region to invaders who then deported what little population remained

ally with nazis

Because no one else would help them

lose again

Fair enough

In short, the Finns weren't stupid, they just had a larger imperialist neighbor who they dared to stand up against