I don't think it necessarily goes without question that Finny is a virtuous character. Remember, we have a 1st person narrator in the novel, so all our knowledge of Finny is filtered through Gene's own biases, desires, jealousies, etc. And frankly, Gene is not the most reliable source. Even he doesn't know how to interpret Finny. One minute he calls him his best friend, saying how lucky he is to have Finny as a roommate; the next, he's accusing Finny of trying to blackmail his academics.
However, I would argue that Finny is generally presented as a kind, caring individual. So, moving from that, one scene in which he does not behave this way is the creation of the Super Suicide Society of the Summer Session. As he reveals his plans for jumping out of the tree, all of the other boys show discomfort and fear. Finny essentially bullies them, eventually wheedling Gene enough to make him jump. Demonstrating this kind of peer pressure is not virtuous.
Virtue is a matter of opinion. Finny has both virtuous qualities and less than virtuous qualities alike.
For example, when Finny gets upset or sad because he discovers Gene might have been enlisting in the war, he has an apparent negative feeling about it. The cool thing about being a reader, is you can see that one way or another: jealousy or loyalty. We find out in chapter 12 how desperately he wanted to be involved in the war and therefore this previous scene could have been jealousy. Do we consider jealousy a virtue or a detriment?
Likewise, he is always the rebel - he got Gene to skip school or be late to class regularly. Is following the rules virtuous? It should be and Finny didn't like following them. Finny even allowed Gene to go overboard by letting him do his homework during their senior year.
Maybe a better question would be, is there a scene (besides the obvious) in which Gene is not a character of virtue?