You would also think that the Baltic Crusaders would mention any of the enemy military leaders but I couldn't find anything on Wikipedia at least.

While I can't answer your question about the first recorded mention of a Finnish person, I can relate it to the Baltic Crusades. In the opening chapter of The Chronicle of Henry of Livonia, the author does record the names of the natives who converted by Bishop Meinhard in 1186: "And in the same village [Uexküll] Ylo, the father of Kulewene, and Viezo, the father of Alo, were the first to be baptized, while the others followed in their turn." He records another list of neophytes in Holm; "...and their names are: Viliendi, Uldenago, Wade, Waldeko, Gerverder, and Vietzo." What is really astonishing or cool is that this is essentially the first time native Livonian (Lettish) names were written down - there was no written alphabet or system of writing widely used; at least, it is safe to say they did not given the lack of evidence. The good thing about Henry (at least for historians) is that he was sympathetic to the natives and indeed learned their language/s - he tended to record native terms used such as maia, which was an assembly place. Henry himself worked as a priest and interpreter during the Baltic Crusades under Bishop Albert in 1205-ish.

As to your second question, I'm pretty sure Caupo is there. Caupo was mentioned in Henry's chronicle initially as one of the 'rebel' leaders of the Lettish tribes that kicked Bishop Meinhard out and ordered the death of his successor Bishop Berthold. Bishop Albert, the third successor, made preparations and gathered an army before marching out against Caupo and forcing him to surrender and 'make peace'. Another contemporary of Caupo was Anno, who also lost against the Christians and was forced to surrender. Both natives are presented in a better light later in the chronicle, particularly Caupo, who journeyed to Rome and met with Pope Innocent III in 1203-04, and participated with the Christians in their expeditions against the pagans. Nameise of Terweten, another enemy leader is recorded in The Livonian Rhymed Chronicle as a pagan chief fighting against the Teutonic Knights in around 1270.

Sources

The Chronicle of Henry of Livonia - ed. James Brundage

The Livonian Rhymed Chronicle - eds. Jerry Smith and William Urban

The Conversion of Scandinavia - Andres Winroth (I'm not sure off the top of my head but I think he might of mentioned something about the Christianization of Finland in his Sweden chapter)