You said you had much discussion with FInale about this. I think you should contact them and have them give you the steps you should follow. As best I can remember, the Aria player cannot load soundfonts. I might be wrong but I believe it needs to read "sfx" files.

Once you get this working, be prepared to spend some time creating custom Human Playback preferences for these sounds. Garritan sounds use specific midi controllers to playback the music. There is no guarantee that these Proteus sounds use the same midi controllers. Therefore, you might have to spend time creating custom HP preferences which would enable Finale to communicate with these new sounds.

I don't mean to be negative, but there's a lot involved with good playback. It's more than just getting sounds to play back.

What specifically will these sounds give you that you didn't have before?

What specifically does not come through is any sound at all.

I have already gone to Finale, they sent me here. 

I have gone to Digital Sound Factory.  They have no answers as of yet.

I had already converted the files.

The first thing necessary is sound.  Where is it? The patches are visible. No sound comes out.

I'm just trying to brainstorm ideas with you. I did a quick search about loading sfz files into Aria, I found this:

https://usermanuals.garritan.com/ARIAPlayer/Content/sfz_libraries.htm

It might help, might not.

It's always a challenge when you purchase sounds that haven't completely been tested with Finale. If Finale tech support sent you here that tells me that they do not have any first hand experience with the Proteus sounds. If Digital Sound Factory told you their product works with Finale, then they should provide the necessary steps to you to make it work. If they can't do that, I would ask for a refund.

The only 3rd party sound library that works right out of the box with Finale is Note Performer.

Found this:

https://makemusic.zendesk.com/hc/en-us/articles/218222037-Difference-between-the-ARIA-Player-and-the-ARIA-Engine 

Plogue created the Aria player. They have also created Sforzando, their own player. Maybe this is what you need...

https://www.plogue.com/products/sforzando.html 

I have already been through all those resources.  The banks appear where they should.  The sounds do not.  Meanwhile, all garritan and other sounds appear and do work..

I am likely to ask for a refund.  Everyone assured me it should work on all ends of the conversations. 

There are some patches on Proteus I planned to use in a composition. I would like to work them directly through the computer rather than through my old modules.