Translation:You are right; Finland is not in Scandinavia.
If you said, "sinä olet oikea", it would mean "you are 'true'/the one (to do something"'. And if you said "sinä olet oikein" it would be like, for example, you had to be in a specific position and that you would do it well (literally said 'olet oikeassa asennossa' though). So, 'olet oikeassa' -> you are "in the right" -> you are right. Not exactly sure why it has come to this after ages, of course. Is this enough?
Geographically, the Scandinavian peninsula is Sweden and Norway. https://en.wikipedia.org/wiki/Scandinavian_Peninsula
You confuse geography with culture. Denmark and Iceland are also NOT in Scandinavia, geographically. Politically, they are all in the Nordic Council, along with the Faeroe Islands, Aland, and Greenland.
If Finland should somehow be recategorized geographically, then why not include Ingria, Russian Karelia and Estonia as well?
A broader definition like this is sometimes used in English, and it makes Scandinavia basically synonymous with the Nordic countries.
However, this is not done in the Nordic countries themselves. For us, Scandinavia is Norway, Sweden and Denmark and that's it. Finland is definitely not in Scandinavia.