The idea is multi-fold:
1) It gives you +3 Units to build, potentially, each round.
2) It gives you a way to trade Finland instead of losing it forever the instant it falls.
3) It gives you an air base from which to threaten SZ 2 and thus, put pressure on the British fleet no matter where they want to build. (Fighters from France can hit SZ 8, Fighters from Norway can hit SZ 2; between them, all Sea Zones are covered.)
4) It will probably convince the allies to dedicate everything to taking it (meanwhile, Germany is only dedicating 9 to 15 units “trying” to keep it.)
Big thing with Norway is, it’s across the puddle from Germany. That means the Germans either have to walk all the way around (might not happen) or put a navy in the water (probably won’t be floating next round though) or put up a complex to hold it - otherwise it’s gone for good.
I just don’t like giving up 5 IPC a round, every round, until the death of Russia, Germany, Japan or America without at least putting up a little bit of a fight!