I am not sure what you mean by your words “Tempo changes screen” - you are not talking “Finale-speak”.

Do you perhaps mean the MIDI Tool window?

To open the MIDI Tool window, switch to the MIDI Tool, choose in the MIDI Tool menu what you need (e. g. Tempo), and double-click a measure.

If you are looking for the "Tempo Tool" it is no longer present in Finale v25. Use expressions to set the tempo instead.

After you create the expression for the new tempo, how do you assign that tempo for playback? I was told a while ago and have forgotten, since it's different in the latest version...

There is a Playback Tab at the top of the Expression Designer panel.