I used Zen in 2004 (it was Radiolinja at that time) in Estonia and Finland with "free roaming" in Finland, so I can assure that it worked.
I don't understand Estonian and just a little bit of Russian, but looking at their site now it seems it doesn't exist anymore... it sends you to Elisa's roaming page, and for Finland it should be
THIS ONE.
Anyway let's wait for our Russian expert Asick to confirm!