I installed Finale Music 25 today and opened a few tutorials and nowhere I could find a sustain pedal sign or let ring like in Guitar Pro 6 or any similar software. The notes are not sustained and I seem to have trouble finding the way to sustain them.
Did you try reading the documentation?
Since the OP doesn't identify exactly which Finale product the question is about, the specific answer for the wrong version might be unhelpful, but you should be able to find the answer yourself:
Type "piano pedal" in the documentation search box and go to the page on pedal markings.
Type "let ring" in the search box and go to the page on guitar notation.
My vintage version of Finale has a sustain "P" listed among the choices in the articulation panel. I don't know what they are doing now.
If you assign a staccato for example, the playback effect is a percentage shortening of the note. I will try to create an articulation and make the playback effect more than 100% to create sustain for guitar. The articulation could be a blank so it doesn't show on each note (which btw is easy to assign if you select the whole bar and then assign articulations). Haven't tried it so I'm not sure it will work...