The good news is you can get a log of all the errors in a conversion. Go to File > MusicXML > Preferences and click “Silence error messages” under Translate Folder to MusicXML. You can then specify a log file to write to the folder that is being converted.
The bad news is that it does close the subwindow, but there is a memory leak somewhere in Finale that I just could not find and fix. I’m sorry about that. It caused us problems too when we converted tens of thousands of files from desktop SmartMusic to web SmartMusic. You’ll want to limit the number of files in a folder to convert at one time. Several hundred usually work fine; several thousand not so much.