I dealt with ITAR while a Federal Agent a bit. I know of NO restrictions on importing or exporting a scope with a mil-dot. It's just a scope.

If you are flying into Colorado to hunt and coming from Finland, your issue will be passing through US Customs. I doubt you would have a problem bringing a commercially available laser range finder into or out of US Customs. With that said, you should look up their contact info and call them and ask.

http://www.cbp.gov/xp/cgov/toolbox/contacts/ports/

I would start by calling your port of embarkation and go from there. I would suspect this question isn't unusual considering the amount of foreign hunters that come in to the USA every hunting season.