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

Here is Why You Need An Adapter

The outlet and plug type used in Zambia are C, D and G 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

Zambia

In Zambia, outlets of type C, D and G are in use.

Type C

Type D

Type G