Also, there is no delay when VST is unchecked and playing through the MIDI device is checked.

Check the buffer size of your audio driver.  Smaller buffer sizes lead to less latency.  Larger sizes give the processor more time to do its thing and reduce potential for glitches, dropouts, or bizarre audio artifacts.

When using soft-synths on a PC there is an inevitable delay for the processor do everything it needs to do before combining all audio streams/effects/ect. into a single stream to the audio card.  The more powerful (and better the driver software) your PC and Audio device are, the more you can do before getting noticeable latency when trying to play along with a MIDI controller, or make other real time adjustments to an audio stream.  A slower PC might need larger buffer sizes to prevent audio glitches or drop outs.  Most PCs these days should be able to get quite a number of ARIA instruments going with less than 50ms of delay which should be an acceptable real time latency for something like Finale....so experiment with the audio driver options and buffer sizes.

A general rule of thumb with a moderately powered PC is to start with a buffer size of something like 512kb.  If you get glitches in the audio at any point, particularly after piling lots of sounds into a project, then raise the buffer size in small increments of 16kb, 32kb, or 64kb until it goes away.  As you raise the buffer size latency increases between real time MIDI conrollers.  If you can get many instruments playing fine with a 512kb buffer, then your PC might be able to handle even smaller buffers (less latency).

You might try different drivers as well.  I.E.  When you set up your audio device, it may have several types of driver options listed per audio device such as DS, WDM, ASIO, etc.  If you get an ASIO option that's probably going to be the best but you'll want to tweak out the buffer size for your particular PC.