I think you’re confused on what specifically a VST is. You can think of a VST as an app that can play sounds. The way VSTs communicate with a program like Dorico is a standard, meaning you can use any VST with any program that can run VSTs. This is how both Finale and Dorico have playback. Finale’s sounds run in a VST program called the ARIA Player. Dorico’s default sounds run in a VST called the HALion Player.
If you’re asking how to use the Finale sounds you’re used to in Dorico, it is possible but will need some setup.
By default, Dorico should use the sounds it comes with for playback. Are you not hearing sound when you hit play or enter in a note? You might want to check your audio output