Eh... I think that position is largely derived from treaties guaranteeing that, and a local history of severe mistreatment. I don't know much at all about how the Sami have been treated in the nordic countries, but I doubt it's a particularly similar situation.
Oh it very much has been. Things like forced assimilation were very much employed against Sami, as well as (in the UK) Celtic peoples, (Ireland) the Irish, France (Bretons) and others, seemingly mostly in Eastern Europe. And, while not indigenous, Jews and Romani have faced centuries of on-and-off slaughter, forced assimilation/conversion, expulsion, etc., culminating in the Holocaust. And that's just off the top of my head.
Looking at history is not that relevant to the discussion at hand. As far as I know, the Saami today are no longer being forcibly assimilated or otherwise genocided. Is there anything related to how the First Nations are treated that the Finns should apply to the Saami? Perhaps some regional autonomy could be better, if that's not really happening.
The other examples (Irish, Bretons, Welsh etc) I would argue live significantly better and have significantly more practical rights today than First Nations people do in Canada.
As for the Jewish people and Romani, the fact that they are not indigenous people makes it impossible to apply any lessons from Canada. It's not possible, or even desirable in any way, to create any autonomous Jewish/Romani regions, because that would imply forcibly displacing people. These people generally live intermingled with others in the states they inhabit, at most living in concentrated neighborhoods part of larger cities. And otherwise, their languages and cultural practices are already legally protected in the EU (with some major tensions around one particular Romani cultural practice, child marriages). This is not to say that there isn't anti-Roma and anti-Jewish sentiment in Europe, unfortunately there is plenty, but the situation is so significantly different from the First Nations of Canada that there are few, if any, lessons to learn.