Make sure that Play Though MIDI is selected in the MIDI/AUDIO UNITS menu.

As Far As I Know, Finale can not convert from one audio file format to another audio file format.

Am I missing something?

Where in Finale is the “dropdown convert box to convert aiff or wav to mp3” ?

News here too, but I'm still on Catalina  Export ---> Audio Files only gives AIFF and WAV as options.
So export into one of those, open in Music or Garage Band, then save as mp3.

I think he’s talking about the Export option, for exporting a Finale file as MP3.

No, Finale can’t convert a file from one format to another. If you only have an AIFF or WAV, then Jeffrey has good suggestions. There’s also Audacity. 

I constantly export as MP3. As long as you have Play through MIDI selected, you will get the MP3 option.

That's right: only MIDI sounds can export directly as MP3 from Finale.