Finasteride blocks the production of allopregnanolone, which is an important neurosteroid (neurosteroids are hormones synthesised within the brain and that affect brain function). While the majority of people appear to be able to use finasteride without experiencing too many adverse side effects, there have been reports of it causing depression, and a whole bunch of other problems too! Do a search on post-finasteride syndrome to see some of the problems it can cause.
As others have said, if you're already on full trans HRT, finasteride is probably unnecessary anyway, as your HRT will already be suppressing your T production.