I think the key here is that the category of abelian groups (like the category of $R$-modules, and other categories) has a zero object.
Definition. Let $\mathbf{C}$ be a category. A zero object in $\mathbf{C}$ is an object $\mathbf{0}$ that is both initial and terminal in $\mathbf{C}$; that is, such that for every object $C$ of $\mathbf{C}$, there is a unique morphism $\mathbf{0}_{\mathbf{0}C}\colon \mathbf{0}\to C$ and a unique morphism $\mathbf{0}_{C\mathbf{0}}\colon C\to\mathbf{0}$.
The existence of a zero object leads to the existence of “canonical morphisms” between any two objects:
Proposition. Let $\mathbf{C}$ be a category with a zero object $\mathbf{0}$. Then for any $X,Y\in\mathrm{Ob}(\mathbf{C})$, we have a “zero morphism” $\mathbf{0}_{XY}\colon X\to Y$, defined by $\mathbf{0}_{XY} = \mathbf{0}_{\mathbf{0}Y}\circ\mathbf{0}_{X\mathbf{0}}$. These maps have the property that for every $X,Y,Z\in\mathrm{Ob}(\mathbf{C})$, $\mathbf{0}_{XZ} = \mathbf{0}_{YZ}\circ\mathbf{0}_{XY}$.
For example, $\mathsf{Ab}$ has a zero object (as does $\mathsf{Group}$): the trivial group.
Say you have a category with a zero object. If $\{X_i\}$ is a family that has both a product $P$ (with projections $p_i$) and a coproduct $Q$ (with coprojections $q_i$), then you get a “canonical” morphism $Q\to P$: given $i\in I$, we can map $f_i\colon X_i\to P$ by the map induced by family $f_{ij}\colon X_i\to X_j$, with $f_{ij}=\mathrm{id}_{X_i}$ if $i=j$, and $f_{ij}=\mathbf{0}_{X_iX_j}$ if $i\neq j$; the map $f_i$ satisfies that $p_j\circ f_i$ is the zero map if $j\neq i$, and the identity map if $i=j$.
Then the universal property of $Q$ means that the family of maps $f_i\colon X_i\to P$ induce a map $f\colon Q\to P$ with the property that $f_i=f\circ q_i$ for each $i$. In particular, you get that $p_j\circ f\circ q_i$ is the zero map if $i\neq j$, and is the identity if $i=j$.
In the case of finitary algebras (in the sense of Universal Algebra), where the product has underlying set the cartesian product of the underlying sets, if there is a zero object (there isn’t always; $\mathsf{R}^1$, rings with unity, does not have a zero object; neither does $\mathsf{Semigroup}$), the subobject $f(Q)$ of $P$ has the property that for each $\mathbf{x}\in f(Q)$, $p_i(\mathbf{x})$ lies in the image of the zero object in $X_i$ for all but finitely many $i$ (this can be proven by induction on the length of the terms in the category). But we are already in a rather restricted class of categories: categories of algebras with zero objects.
Note that this “canonical map” $Q\to P$ in categories with zero objects need not be an embedding. For example, in the category of all groups, $\mathsf{Group}$, $Q$ is the free product of the $X_i$ and $P$ is the cartesian product. The map $Q\to P$ has nontrivial kernel, generated as a normal subgroup by the subgroups $[q_i(X_i),q_j(X_j)]$ with $i\neq j$; this nontrivial normal subgroup is called the “cartesian of $Q$”. But in the category of groups, it is still true that any element in the image of this morphism has only finitely many nontrivial coordinates, because the elements of $Q$ are “finitary”: they involve only finitely many elements from finitely many of the $X_i$.