Because USSR has reason to fear an expansionist Germany. And in preparation for the incoming war, it is good to annex minor countries bordering you (not only additional factories, but also a good buffer zone). Better to grind the Germans down in a foreign land than your own where your core industries are at stake. Ask the French why they wanted to move into Belgium as soon as Germany invades.
Stalin is playing with his options. If it is cheap to just grab the whole of Finland like he did with Baltic states, why not? If it is not, then at least settle for some land that forms a buffer between Leningrad and foreign interventionists.
Stalin does have the ambition to annex all of Finland as part of the Soviet Republics. That I have no doubt. But he is also a pragmatist and knows when to draw the line.
The telegram is a catalyst for American declaration of war on Germany, just like Pearl Harbor in WW2.
" Revelation of the contents enraged Americans, especially after German Foreign Secretary
Arthur Zimmermann publicly admitted on March 3 that the telegram was genuine, helping to generate support for the
United States' declaration of war on Germany in April.
[1] The decryption was described as the most significant intelligence triumph for Britain during World War I,
[2] and one of the earliest occasions on which a piece of
signal intelligence influenced world events.
[3]"
Why should Americans be worried about Mexico? Germany did not have the capabilities to help the country, especially when it was under naval blockade by the Brits. And the country is weak militarily. Is America paranoid about Mexico possibly attacking itself, despite it being a weaker country that poses no real danger. Unless there is a hidden motive -- Germany is backing it and it needs to be stopped. So the argument about "Finland being no threat - hence no need to attack" rings hollow for me. Just because your neighbor is small does not mean that it is not associated with a stronger enemy.