Check that you have not placed something in the file that makes Finale think that playback has stopped.

https://usermanuals.finalemusic.com/FinaleWin/Content/Finale/MFTYPDLG.htm?Highlight=MIDI%20export  

I'm clueless how to do that. It's a file created with Finale, and exported as a wav file. Where would I look?

Check Playback Setting (the cog wheel icon beside the tempo setting box) to make sure all measures of your file have been included.

… I am exporting a midi file …

This sounds like you are exporting as a MIDI file.

… It's a file created with Finale, and exported as a wav file …

This sounds like you are exporting as a WAV file.

Are you exporting the Finale document as a MIDI file (= MIDI Data), or as a WAV file (= Audio Data)?

You are using Windows Finale - right?

If you are exporting WAV (= Audio), then what is the Playback software?

Take a good look in the MIDI/Audio menu.

What option is selected?

Is it

Play Finale Through VST

or is it

Play Finale Through MIDI

?

From Finale I click on File - Export - Audio File - I save it to ICloudI play it through VST

Then, in Garageband I load it into a channel. 
I kept playing around with things and eventually got it loaded - although I cannot say for certain I know how I did it. 
I am, as you have probably already seen, a novice at this. I appreciate the help.

Ok, it's Export Audio, not Export MIDI. Thanks for clearing that up. It can be confusing and there are Video tutorials on this in the Help menu.

I do not understand why you would save the file to iCloud instead of somewhere on your Mac but, if it works, it works—or does it?. A less than robust internet connection can explain how the file can stop midway because it hasn't loaded completely. I would create a folder in Documents (you can call it Finale Audio) and export audio files to that before dragging them into GarageBand.

One thing: you have two Audio Export choices from Finale on a Mac: .au and .wav. Stick to .wav only. There is a bug in Finale's .au export since 25 that has never been resolved and you don't want to experience it.

… From Finale I click on File - Export - Audio File - I save it to ICloud I play it through VST …

Since you are using VST, the audio export is done in “real time”.

This means that it will take 5 minutes to export an audio file that plays for 5 minutes.

My guess is that you did not wait long enough.

The export is not done in “real time” (but rather much faster) when you play Finale through MIDI.