Fajans’ rules say that a cation’s polarizing power increases when its charge is large and its radius is small. A convenient way to express this is
$$\text{polarizing power} \propto \frac{Z_\text{eff}}{r^2}$$
for a given charge state, where $Z_\text{eff}$ is the effective nuclear charge at the cation surface and $r$ is the ionic radius.
For the first-row transition metals in the $M^{2+}$ state (Sc–Zn), the ions are essentially $[\text{Ar}]\,3d^n$. The outermost electrons that define the size of the ion are the $3d$ electrons. As you move across the period, the nuclear charge $Z$ increases by $+1$ each step and you add one more $3d$ electron. Electrons in the same $3d$ shell shield each other poorly (small increment in screening per added $3d$ electron), so $Z_\text{eff}$ experienced by the $3d$ shell increases substantially from left to right. Because that $3d$ shell is the outer shell, the increase in $Z_\text{eff}$ pulls it in strongly, causing a significant decrease in $r$ across the series. With charge fixed at $+2$, $\dfrac{Z_\text{eff}}{r^2}$ rises rapidly, so the polarizing power of $M^{2+}$ increases quickly and the bonding becomes more covalent going from early to late 3d metals for a given anion.
For the lanthanides in the $Ln^{3+}$ state, the situation is different. The ions are approximately $[\text{Xe}]\,4f^n$, with an outer closed $5s^2 5p^6$ shell and an inner, partially filled $4f$ shell. As you go from La$^{3+}$ to Lu$^{3+}$, you add protons to the nucleus and fill the inner $4f$ orbitals. The $4f$ electrons are very core-like: they are radially contracted, lie mostly inside the $5s$ and $5p$ shells, and shield outer electrons poorly. So for the outer $5s$ and $5p$ electrons that control the ionic radius, each step adds $+1$ to $Z$ and one more inner $4f$ electron that only partially screens this extra nuclear charge. This does increase $Z_\text{eff}$ on the outer shell, but more gradually per step than in the 3d case, and the principal quantum number and character of the outer shell (5s/5p) do not change along the series.
Because of that, the lanthanide contraction (the decrease in $r$ from La$^{3+}$ to Lu$^{3+}$) is relatively modest compared with the contraction of the 3d $M^{2+}$ ionic radii across a single period. The radius $r$ of $Ln^{3+}$ decreases, and $\dfrac{Z_\text{eff}}{r^2}$ does increase, but the fractional change is smaller than for the $M^{2+}$ 3d ions. Consequently, the polarizing power of $Ln^{3+}$ increases more slowly across the series than that of $M^{2+}$ across the 3d row.
In terms of penetration and shielding, the key point is that $s > p > d > f$ in penetration. The $3d$ electrons in $M^{2+}$ are the outer electrons and shield each other poorly, so the increase in $Z_\text{eff}$ directly contracts the outer shell strongly from one element to the next. The $4f$ electrons in $Ln^{3+}$ also shield poorly, but they are inner electrons; their poor shielding only slowly increases $Z_\text{eff}$ at the outer $5s/5p$ shell, giving a smaller stepwise contraction. This is why, using Fajans’ rules, 3d $M^{2+}$ ions show a rapid increase in polarizing power and covalent character across the period, whereas $Ln^{3+}$ ions show a slower, more gradual increase across the lanthanide series.