Finn has never celebrated Christmas before. He's not religious. He actually didn't even know such a thing existed. He was only warned about it once and it completely slipped his mind when Christmas came.
When they were out in town, Gadget purposely took a detour so that they would pass by the giant christmas tree that the citizens had put up in the Square. Finn, who had never seen a Christmas tree before, was really confused about why the tree was "glowing". Gadget hadn't bought christmas lights for their house.
No matter what was said or reassured, Finn was not going near the tree. He didn't "trust strange pulsating lights" anymore. So the most they did was look at the tree before Gadget got bored (and cold) and decided they should head home.
At home, they probably had a looooooooooong talk about what Christmas was, and how the tree wasn't, and what Christmas was all about.
"I don't trust glowly things."
"You trust me, don't you?"
"You can't lie to save your life. I don't have to worry."
"Hey!"