You need to use the GPO studio software that is supplied on the 4th disk of you package to integrate GPO playback into Finale. You will find instructions in the GPO manual of how what setting you need in your MIDI setup dialogue box.
Not really - you need to change your approach to how to get dynamics to playback correctly. GPO uses the Mod wheel to control volume and timbre (as opposed to standard MIDI using velocity), and velocity to control attack.
So if you are doing everything in Finale then you will need to create some expression libraries to control these settings.