Dennis, welcome to the forum.
A couple of things to try.
In the MIDI menu, is MIDI Thru checked?
In the MIDI Setup>Audio Setup> is the correct output set, and the volume up?
Is this in all Finale documents, or just one? Does the sound work correctly in other programs? If you download a free trial of one of the other Finale programs, does the playback work correctly?
PrintMusic 2004 - Finale 2014.5
Mac OS 10.11.4