Smith was on 6 when he edged to England captain Andrew Strauss at first slip, but umpire Steve Davis ruled the ball was dead because Finn had dislodged the bails in his bowling follow through.
Finn had previously knocked the bails off twice during Thursday's morning session at Headingley and did it once more afterward.
Strauss had an animated discussion with Davis following the decision, but law 23.4, section 6 of cricket's rules says: "An umpire shall call and signal dead ball when the striker is distracted by any noise or movement while receiving."