Without VDL it isn't possible to listen to the score directly from the Finale file. The Percussion Library is included so that someone with VDL could continue to work on a score that doesn't include the Library. In other words, the wind arranger (who may not have VDL or is not using a template) could hand his Finale file to the percussion arranger (who presumably does have VDL and the templates). The percussion arranger would then be able to add staves to the wind score and continue writing using VDL for playback. The percussion arranger would need to load the Percussion Library to the wind score for this to work correctly. This is just 1 way for the 2 different arrangers to collaborate when one doesn't have VDL.
To answer the question, how does someone without VDL hear the percussion parts, save the file as an audio file.
iMac i7, OS 10.8, 10.9, W7
VDL2.5.5, Finale 2010-14
Kontakt 4-5, various other soft synths