Well, there's enough in this topic to fill an entire conference, but in brief ...
The initial effect of the First World War on Sibelius was above all financial but also psychological. Financial because his royalties from Breitkopf and Lienau more or less dried up (hence his need to write miniatures that he could sell to Finnish publishers, though he may well have wanted to write most of them anyway). And psychological because - even though the direct threat to him was small - he had to cut down dramatically on foreign travel, appearances with orchestra, and this contributed to a depression that he tried to drink his way out of.
After the 1917 Russian Revolution things changed dramatically with Finland's declaration of independence and subsequent civil war. During this period things were genuinely rough for him, as indeed for all Finns: food shortages, murders, rampaging troops, and so on. After Ainola was searched by the Red Guard (JS supported the Whites), the family did move to Helsinki to stay with JS's brother at the Lapinlahti mental hospital for a few months. Sibelius lost 20 kg weight in those months and was mistaken for a lunatic by visiting Red troops!
In WW2, Finland became embroiled in two separate wars: the Winter War (Nov 1939–March 1940) and Continuation War (June 1941–Sept 1944). As at the start of WW1, the direct risk to Sibelius was relatively small, but he did have to abandon the Helsinki flat that he and Aino had rented as a winter bolt-hole. And again, food was in short supply so Aino's horticultural skills at Ainola were much appreciated. This war too affected his contacts with publishers, e.g. causing Breitkopf to postpone publication of the newly revised Lemminkäinen and the Maidens of the Island and Lemminkäinen in Tuonela.
It is worth adding a note to correct what used to be a common misapprehension:
Although it suited the Nazis to promote Sibelius - Goebbels even set up a Sibelius Society in 1942 - Sibelius did NOT sympathize with their cause. Sibelius had to record a radio message containing various platitudes about the Germans’ ‘great sympathy for my fatherland’ and the ‘union of fate’ between Finland and Germany, ‘the radiant land of music’, but he was all too aware that he had not yet secured a place in the hearts of German audiences – ‘I like Germany very much: only Germans like not Sibelius’, he had told the American journalist Carleton Smith in 1930. For many years the supposition that Sibelius was a Nazi sympathizer did untold harm to his reputation in Germany (things are getting better now, thankfully). There is a very telling diary entry from 6th September 1943: ‘At my age I CANNOT excuse this primitive way of thinking – anti-Semitism and so on. My education and culture are ill suited to these times’. And no doubt Goebbels chose to overlook the fact that Jews were granted asylum in Finland – Jewish soldiers even fought in the Finnish army.