The issue is that currently Dorico exports MIDI but not General MIDI. It outputs the same MIDI that is used for playback, including key switches, controller switches and controllers for dynamics. If you were to import that into a DAW and load the same sounds, then it will play back the same way. However, if you are importing the MIDI file into an application that expects General MIDI then it doesn’t know that they are key switches and it won’t be able to identify the instruments because they don’t follow the General MIDI mappings.
I don’t know how Finale’s MIDI import interprets data - does it assume that files are General MIDI? We do intend to support export of General MIDI in the future, but it’s not currently possible.