What would be super helpful would be a screenshot of your settings in MIDI/Audio: Device Setup: MIDI/Internal Speaker Setup. Also, I'm not familiar with your device-is that a MIDI interface? I also have to ask: is it connected correctly in terms of the MIDI output from your keyboard? 

Hello David and thank you for the reply and offering help :). Long time ago, I used to do the recording very easy, but now I've forgot or might missing something. So lets say I really like to re-learn how to setup Finale, my keyboard output and my audio card input/output, and also my external speakers so can hear the sound/click while recording in real-time.

I am using PSR-sx900 connected through USB cable to my PC and through main outputs to my Behringer audio device UMC204HD and then audio device is connected through another USB cable to my PC and its main audio outputs are connected to my external speakers.

I have no problem, when send songs from my keyboard to audio device and listen through speakers, so this route is fine, but when it comes to send MIDI notes from keyboard to PC/Finale, there is something wrong that I can not hear the recording click and see the recording notes, so most probably my MIDI setup is out of order.

Please advise step by step if possible

Sorry but not being on a PC I have no idea what a PSR-sx900 is (is that your keyboard?) and what happens if you directly connect it to the PC rather than through this Behringer thing as an intermediary? 

For example, my setup is simple: Ensoniq KS-32 synth (an oldie but a goodie-still works) MIDI Out to a mio USB MIDI interface and then via USB-A to my MacBook Pro. What I was asking about is this:

Yes, PSR-sx900 is my Yamaha keyboard, and as mentioned it is directly connected to my PC via USB port.

Behringer is the audio interface to receive and send the audio signals only.

Below is what my MIDI SETUP looks like:

Thanks. It's a bit different from how it's displayed on a Mac. But what happens if you take the behringer interface out of the equation entirely? 

no difference with or without Behringer, it supposed to click when recording, but I do not hear the click.

Well I’d say you should contact tech support for more informed help than I can provide. 

Thank you David for your time, it seems that they do not support the legacy programs and want me to upgrade to the latest version :(

Paul,

What happens when you use the MIDI keyboard to input pitch information in Speedy entry? Does the pitch you play register, or do you only see rests appear when you press keys on your typing keyboard to indicate rhythmic value? That would tell you whether Finale recognizes your MIDI keyboard.

Hi, yes as you said when in speedy entry I press a key on my keyboard, nothing appears on the staves, only rests are sitting there.

I am sure there is a miscommunication between the MIDI keyboard and Finale, which I am unable to figure out.

Simplify the connection as much as possible.

Turn off the computer and temporarily disconnect all your audio connections (hope your access to the cables is not difficult to reach) and then connect just the USB output of your MIDI keyboard to the computer. Restart and see if you can get Finale to recognize the MIDI Kbd in Speedy entry. Once you have established that, start adding the other connections back and testing the link between Finale and your MIDI Kbd. If it fails at any point, you will know you have located the source of the problem.

Best to have the computer turned off each time you plug or unplug any connection in this specific process, even if USB is supposed to be hot-swappable.

Appreciate your help Adrian, I had to update some of the USB-MIDI drivers as well.