"The song is Finnish."
Translation:Laulu on suomalainen.
It would mean that the word laulu is Finnish. It is admittedly true, but isn't a correct translation in this exercise.
<jotakin> on suomea generally would mean jotakin is a part of the Finnish language (e.g. a word), and it doesn't make much sense to say that a song is part of Finnish. You could say e.g. tuo sana on suomea (that word is Finnish).