Hello Kismet, I just found your message.
The metronome on/off setting and the sound you hear is a program function, it isn't saved in a MIDI file. If you want to hear the metronome when the MIDI file is played back, you need to switch it ON in the program you use for playing the file. The same applies to your students, they will each have to turn the metronome on in their own programs.
However, you can do what want with a simple percussion staff with a note on every beat. This is called a "click track". If you're familiar with using a sequencer program it might be easier to do it with that, but it's not difficult in Finale. Create a new percussion staff and enter a note on the first beat. Drag the notehead up and down to find the sound you want for the click and then fill the other beats in the measure with that note and copy the measure to every other measure. I generally use a Cowbell sound - Note 56 on Channel 10. If you want a count-in, just insert one or two measures of click track at the start. When you save as a MIDI file, this staff will then be included as a separate track in the file and will play back on any machine.