Welcome to the forum!

Is your problem Playback or Layout?

Are you using the Speedy Entry Tool or the Simple Entry Tool?

Please specify the steps you’ve already taken (to solve the problem), so that we can rule out things.

Have you e. g. tried deleting the note, and entering it again?

https://makemusic.zendesk.com/hc/en-us/community/posts/215729367-General-Discussion-House-Rules 

Ifyou look up curtesy accidentals in the User Manual, you’ll see the many things that can affect notes and playback.

Your first D is sharp. Your second D is natural as it should be in the key of A major. Are you saying Finale is still playing the second D as D#? Are you sure, listen closely. Finale automatically cancels the # in the next measure.

In the third measure you have to tell Finale each D is a D# or Finale will cancel them also.

I don't know where the problem is, I didn't make any program settings!
I tried setting that Natural and it doesn't count!
I saw that someone commented and said that the Natural note is set automatically.
The first D is sharp and the second would natural !
On me both D's have the same sound!
The first one should be different from the second one, right?

How are you entering the natural sign?

… Why can't they put that natural? the final program doesn't play it.
What would be the problem?
Without that nature there is no harmony! …

From what you have written, it looks like the D♮ does not play back at all.

… The first D is sharp and the second would natural !
On me both D's have the same sound!
The first one should be different from the second one, right? …

From what you have written, it looks like the D♮ does play back, but it plays back as D♯ - right?

Or is it “the other way around” - so that both notes play back as D♮?

Whenever you go over a bar line the # will be canceled. That’s how it is supposed to be. Finale honors that. It doesn’t put a natural sign on it however as it’s just understood. You had to put it there. You should hear the difference even though it’s just a semitone.

If only Finale had options for Courtesy Accidentals… Oh wait…

https://usermanuals.finalemusic.com/FinaleMac/Content/Search.htm?q=courtesy%20accidentals 

There's also a plug-in for Cautionary Accidentals. See the above link.

MIKE HALLORAN

Thank you! With Courtesy Accidentals works!

Why can't they put that natural? the final program doesn't play it. ... With Courtesy Accidentals works!

Courtesy Accidentals don't cause the pitch to change. Are you now saying it indeed does play a D natural and not a D#?