The answer depends on what sounds you're using for playback. Finale's playback is not the same thing as a real musician playing the part. Just because you added "choke" to the part doesn't mean that Finale can do that. It can only produce sounds that were programmed for it to produce.

AFAIK, there is no way to choke  a cymbal with GPO. In JABB, there's a reference to midi note 33 (A0) being used to choke a cymbal. I'm not sure if the default sounds that come with Finale have the "choke" programming in the drumset.