In Finale, with the slur tool selected, double click on the start note of the slur, but don’t release the mouse after the second click (down, up, down). Instead, drag the slur right to extend it. As it passes each subsequent note, it becomes highlighted, indicating that the slur will “snap” to that note. If you release the mouse while you see the highlight, the slur will be properly attached to the desired destination note.
While this technique will also work across systems, or even pages, it’s sometimes easier to enter phrase marks using Scroll View, since everything is linear in this view.