From what you describe you sound like you're doing everything right from the Finale side. Save as a MIDI file generally works for me. Selecting the MIDI file will generally launch the playback via your default playback program. So, it sounds like a computer configuration issue which leads to a couple of questons: 1. Have you tried playing other (non-Finale) midi files on the computer, and do you have the same issue. If you're able to play other non-finale midi files on your computer, then, we'll look at Finale as the culprit.
2. Can you save the Finale midi progams to a disk and play them on another coumputer? If so, there is probably a configuration issue with your default playback program.
3. Close finale, opening your default playback program and launch the midi playback directly from the program. This would tell you if there is a Finale/Computer configuration issue.
These tests will tell you wheter the problem is with some set up with Finale, or with a configuration issue with your computer or a conflict between the two programs.
One thought, have you configured your computer to play back via your controller? Sometimes I do this (both in Finale and outside) and then remember that I don't have my controller on. This sounds simple, but it happens to me all the time, because much of the time I'll play back MIDI via my controller.
This could be the case even though you are getting finale to play back via your computer speakers. You can route finale to a different output source than your midi (non-finale) program.
Check your output routing for each program, then, do the test I outlined above. If you can play back non-finale midi files via the same progam on your computer then there's probably a finale solution. If you can play finale midi files on another computer, then it's a computer configuration issue. If you can playback in test #3, then, there is some finale/computer interface issue, also a configuration problem.
Once you get the reslts from these tests, you will have isolated where to look for output problem.