I have no trouble choosing which clef I want the grace notes to appear in. Can you show us a screenshot of this problem you're experiencing?

Please see the second staff, second bar, the positioning of the alto clef.  The alto clef can be placed after the two a flats, in which case grace note and normal note both appear in treble clef.

Picture 1:

The alto clef can be placed after the two a flats, in which case grace note and normal note both appear in treble clef.

Picture 2:

The clef can be placed before the grace note, such that both notes appear in alto clef. 

Picture 3:

When the clef is between the grace note and the normal note, the grace note incorrectly appears as if it’s in alto clef.

This is a well known issue.

The culprit is that Finale considers the grace note belonging to the same beat as the following note.

Workaround:

Enter the grace note as a real note in another Layer (or in the same Layer, in Voice 2), and resize the note to grace note size (look in the Document Options, to see the document’s grace note size).

Add the slash as a shape expression.
Position the note with appropriate rests, and hide the rests.

Wouldn't the performer prefer the grace note in the same clef?

… Wouldn't the performer prefer the grace note in the same clef? …

That depends on the actual context.

Really: This notation is not as uncommon as one might think.