Did you run the Aria/Garritan installer, too?

No.  Aria has the latest and greatest.

First time I loaded up Finale, I get Program.

Save File

Close application.

Load the File a second time

It no longer says "program".  It now says Bank.  It is at the end of the video 

You have to run the Aria installer included with the Finale download. It sets the paths—without that, Finale can't find what you need. 

The Score Manager column Prg (Program) appears when you have Play Through MIDI selected in the MIDI/Audio menu. Bank/Ch. columns appear when you have Play through VST selected.

• To see a list of VST's you need to have scanned for them in MIDI/Audio > Device Setup,
• and if your VST plug-in's are not in a folder Finale expects, you also need to add the extra folders to the list in Manage VST Plug-in Directories.

I checked that.  It is setup with VSTs, and it plays with VSTs.  Program is showing when it shouldn't.