What you are trying to do, is not traditional practice.

In traditional practice grace notes are not displaying tuplets.

In Other Words:

Finale is doing what it is supposed to do (= not displaying tuplets on grace notes).

As a workaround you can enter the tuplet as normal notes, and resize the notes to grace note size.

The grace note size is a document setting:

Document menu > Document Options > Grace Notes

Thank you very much!