In this case the finally follows the vb.net implementation. To be honest I wasn’t familiar with how other languages implement finally (I see that in java it works how you described it) and I see there are use cases were the behavior should be like you described.
I don’t think we can potentially change the Try Catch activity because it’s inherited from Workflow Foundation and there are some backwards comparability problems.
Right now I don’t know how this interaction might be implemented so for now we have the workaround of using two try catches.