The intention was to prevent tooth decay by regulating candy intake. But it turns out that mandating a special weekly(!) day for candy consumption had the opposite effect. Children are naturally interested in things that are forbidden from them, and so when the restrictions are lifted they tend to eat large amounts of candy. Furthermore, restrictions and rules are not a good way of teaching moderation. Practices like Saturday candy facilitate an unhealthy relationship with food, which is why it's not longer a recommendation in Finland -- I'm not sure about the other Nordics.
"Lørdagsgodteri" here in Norway was always restricted though. I read your comment as if kids have unlimited access to candy, which I have never heard of. The idea is that the parents give the kids the amount of candy allowed, and they only do that in saturdays.