You Do Need power plug adapter while traveling from Finland to Vatican City.

Here is Why You Need An Adapter

The outlet and plug type used in Vatican City are C, F and L and in Finland are C and F. This is how they look like.

Finland

In Finland, outlets of type C and F are in use.

Type C

Type F

Vatican City

In Vatican City, outlets of type C, F and L are in use.

Type C

Type F

Type L