Obviously there will be some finasteride in your semen. But the amount is negligible to affect a male foetus. It's a theoretical risk, no more. They gave pregnant monkeys like 200 times the amount of finasteride found in semen - still no damage to the male foetus. If a pregnant woman takes it orally at 1 mg, foetus will be damaged.
The warning on the leaflet is more for legal cover than a medical purpose.
This is all from memory, reading around when I first got on finasteride.