The main issue would be them advertising using Nintendo's IP.
Secondary would be copying ROMs illegally -- I highly doubt they dumped them themselves, but this would be hard to prove and may not go anywhere. Also, we're talking about EU law, not DMCA... the ACTA treaty hasn't passed yet.
The emulators themselves are legal, but this was bone-headed move. Nokia really baffles me. World-wide, they're still the leader in mobile phones, and Finland might not be a first-world country without them, but recently, they seem unable to do anything right.