Dual gauge trains are technically much more complicated, making them more expensive to build, maintain, repair etc. Dual gauge do not work well (or at all depending) in the cold climate of Finland and if they did, the changeover takes time which adds up when you are trying to move thousands of cars worth of material. Dual gauge trains still need changeover stations, which are themselves expensive and complicated, as well as being targets for attack.
Unloading to new trains carry the same problems; expensive, time consuming, and make for excellent targets. Logistics are the least interesting part of war for most people, but are one of, if not the most, important part.
