will it affect the sound of the call if I do not put a finish on the insert?
This is a personal preference for a lot of folks. When learning to make your toneboards, I wouldn't worry about a finish. When you get close to having your toneboard perfected, I would worry about it then. As we all know, moisture makes woods expand and contract. If you don't finish a wooden toneboard, then there is a chance that the sound will change once the caller has used it a lot, or it naturally picks up moisture from the humidy of the water source we hunt around. The outside of the toneboard doesn't need a finish as much as the toneboard arc and tonechannel does. Most folks use Velvit oil on their wood toneboards to help keep out moisture.
Also, what is a cheap wood with a good tone to begin with? I don't see many maple or walnut inserts, but do see alot of osage and was thinking about starting with the osage.
Maple is hard to tune, and walnut seems to change shape over time and not hold its original tune. So, that is why you don't see those woods a lot. Hedge is a good one to start with, as well as cocobolo and african blackwood.
Good luck on your quest for toneboards. Post up your progress as you go along, and keep good notes. It can be frustrating, but also very rewarding when you make a toneboard that you would be proud to use duck hunting.
Brian