I see that now, but at the global level, it is generally the less religious nations that have deeper social safety nets -- and which do more per capita to help poor nations. So, religion goes hand in hand personally with helping others, but at the national level things are pretty different.
Also, religious people often think it is their job, or God's job, not the government's job -- to help others. Before religion began to fade in popularity in the past century, churches often did much of what governments do today.
Having said all this, I am glad to hear that, in Finland, religiosity may promote support for a government funded social safety net. It gives me hope about the U.S. :)