If this continues month after month, it is definitely not a good sign my friend. It is a symptom and if you haven't changed any other factors behind your regimen, then it's being caused by finasteride. My personal experience on finasteride, correlates precisely with the rest of the users who also responded negatively to it - scalp itching, burning and tingling. These are all signs of inflammation. Inflammation in itself is usually not a big problem. We have it all the time, in various different parts of the body. It can be controlled by medication or it's just naturally controlled by your body. HOWEVER, when you are constantly taking a medication that's CAUSING the inflammation, you cannot control it. That's why some people get really, really frustrated on finasteride. Like myself, they try nizoral, tgel, cold therapy, massage, anti inflammatories to control what's become a chronic problem, because the inciting factor, finasteride, is still there.
Stay on it for a couple more months. If your problem persists, drop it. I don't care what anyone says, you need to ultimately listen to your body. If finasteride is causing a localized response like that within your scalp tissue, then NO, it is not working, it is doing the opposite. Everyone speculates whether it's caused by an increase in AR receptors, excessive androgen production or T production, blah blah... it does NOT matter, because we don't know. What we do know is that it is not working and in fact, it will ultimately be doing the opposite of what it's intended to do and cause hair loss to excel.