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Which countries actually grant reporters immunity from having to reveal information related to criminal investigations (where others would be compelled to, and without criminal penalties)? Such immunity may be desirable (at least in some circumstances), but I am not aware of any jurisdiction that actually grants it.
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At least in Finland there's a specific law about journalistic source protection (lähdesuoja) explicitly saying journalists have the right to not reveal sources.

In serious crime cases in some circumstances a court may order a journalist to reveal sources. But it's extremely rare and journalists don't comply even if ordered.

https://fi.wikipedia.org/wiki/L%C3%A4hdesuoja

Edit: the source protection has actually probably never been broken (due to a court order at least): https://yle.fi/a/3-8012415

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Thanks for the info & link! After some searching, I found this rather interesting study on source protection in many (international) jurisdictions, and it calls out Finland, though other countries have interesting approaches as well: https://canadianmedialawyers.com/wp-content/uploads/2019/06/...
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