In some versions of Finale, the program sets up the file (name) but then starts to covert the file in a way that is almost invisible. Watch the playback counter to be sure the entire file has been converted before moving on to another task.
OK, I've been having the same problem. My new Windows 10 machine is very fast, so I didn't think producing the WAV file would take very long. Indeed, the little Windows "hour glass" disappears after only 1 second, which is suspicious. Apparently, the "playback counter" Adrian refers to is down at the bottom far-left of the window. It says "playing." Just leave it alone until that "playback counter" disappears, and the file is then complete. The other thing to mention is that, on your playback controls, you need to make sure that "stop at: end of piece" is checked. Why "end of piece" is not the default is another one of those Finale mysteries.