SOLVED: I'm replying to my own post to save a future me the trouble.
MSB and LSB in the CT-S500 user guide correspond to the Finale patch settings for Bank Select 0 and Bank Select 32 as expected, but you have to add 1 to the program change, i.e.: program change in Finale is 25 for the Vst Nylon Gt, not the 24 it shows in the user guide.
Edit: Unless you want the GM MIDI sounds, in which case you have to add one to both the MSB and LSB, i.e.: in the user guide, MSB and LSB are both given as 0, but in Finale, the Bank Selects both need to be 1. And you still add 1 to the program select. So GM Nylon Gt is 1, 1, 25. It's a bit convoluted but it's pretty easy once you figure it out.