Hello Jeffrey,
I don't have experience myself with Finale, but in case it helps you could potentially see what MIDI messages Finale is actually sending to Hauptwerk, and what virtual Hauptwerk controls (virtual keyboards, etc.) those messages are triggering, by temporarily turning on the 'Log all MIDI messages ...' option on the 'General settings | General preferences | Advanced ...' screen tab, playing the piece from Finale (or, probably better for ease of testing, a minimal test piece) then looking in the activity log ('Help | View activity log') in Hauptwerk.
There will be a lot of entries logged, so the less events your Finale test piece contains the easier it will be see the wood for the trees (so to speak). E.g. make a clean test Finale piece with just a single note (e.g. middle C) on a single stave, then a switch of MIDI channel for the stave, then just one more note on that stave. Likewise, avoid touching anything else in Hauptwerk while conducting the test, so as to minimise the amount of events that get logged.
You should also see the relevant virtual keys play (e.g. the two middle Cs) on the relevant virtual keyboards on the screen in Hauptwerk if it's working as you want it to.