Finale has the option to generate playback sounds through Audio Units (macOS), VST (Windows) or MIDI (through SmartMusic SoftSynth available with both macOS and Windows). Any file can use either of these and this can be changed by selecting the desired option under the MIDI/Audio menu in Finale. Depending on whether you have Finale set to playback through MIDI or Audio Unit/VST, the options for audio format available during export will be different though.
If you are using Play Finale Through Audio Units/VST, there will not be an option for mp3 compressed format, but rather only uncompressed .wav or .aiff files as options. If you do need to have compressed mp3 format, there are several options you can use for this.
You can change the playback sound method under the MIDI/Audio menu (in some situations it may be best to make a copy of your document before making this change). Also, you can export the .wav or .aiff file and use a thirds-party applications to compress the file afterwards. If would like to keep the quality of the Audio Unit/VST sound, it is recommend to use the latter.