If he's just wanting to hold onto your finger, you are lucky!
Don't worry, it WILL pass.
In lieu of a finger... maybe you can s-l-o-w-l-y transition him to a stuffed animal... kids/babies love to hold onto the ear part of the animal...it is soothing for them. My son has done this since he was about 6 months old. Some babies/kids love to hold onto the "corner" area of a lovey or blankie too.
If you think about it... holding onto a "finger" or the ear of a stuffed animal... is like that of a "nipple." It is instinctual... ALSO in babies they have a natural "reflex" to grip & play with the nipple in order to get the milk to flow... this is called "twiddling."
This action is a self-soothing and instinctual thing. And there is nothing wrong with it. It helps them to comfort and to sleep.
Sure, maybe he "knows" how to sleep on his own...but for now, he is loving your finger for comfort. That is fine. Self-soothing is actually a healthy behavior that shows a baby/child is being self motivated in "helping" themselves.
The thing is, it IS temporary. He will grow out of it. I don't feel there is anything wrong with a child having something to fall asleep with... but you can replace your finger for something else, but as you see, he will protest. At least he is not attached to your breast still or having YOU carry him or rock him to sleep, or sucking his thumb, as many kids. So, take heart it is just your finger for now.
I don't know why, there is the thinking that a child should NOT bond/find comfort/self soothe with a "lovey" object. Many child development experts will tell you it is normal and healthy for them to self-soothe. And they do grow out of it. No worries. In our culture, we don't like kids to bond with anything or get attached to us, the breast, the pacifier, the bottle, a lovey, or anything. So no wonder they get frustrated... we don't let them "comfort." Everything is about "un-attaching" a baby and weaning them fast and quick from everything. Some say good, some say nurture. It all varies. But even in the womb... a "baby" fetus will suck their fingers and yes, self-soothe, even in the womb.
Also his age, they do all kind of things in their bed and "play" and are so mobile just when we want them to go to sleep and STAY there. It's a phase. Transitioning to a toddler bed is... a transition. A process. And it takes time. It is not a slam-dunk event. Not for them. Just keep to a nice calm routine, and keep consistent. No need to have him cry and go into a frenzy over it... otherwise going to bed will be a "negative" event for him and a power struggle. When prior, it was not.
For us, when our girl was that age. We had her go in her bed, with a flashlight, we sat in a chair nearby, read to her, and kept her company as she fell asleep. Then over time, she didn't need us anymore to go to bed. Then you "miss" that... because your child no longer "needs" you for sleep. Aw shucks. It's a double edge sword. But it's great when they do pass this phase and then can settle themselves to sleep again. Hooray!
Your son is 2.5 years old, this is a common hiccup in sleep phases/ and ages and stages. He will get regular again... as long as you keep consistent, same bed time, same routine, same everyday. No need to punish or scold or bribe. Just keep pre-sleep and sleep routines consistent and peaceful. Give him time to "wind-down" BEFORE sleep. We turn off our lights except for one, make everything dim, and give our kids a verbal head's up that "in 15 minutes get ready for bed..." kind of thing. Then we go about our routine of getting ready. The SAME sequencing and routine everyday "helps" them,a nd in turn this will nurture good habits.
Don't think of your finger in terms of "bad habit"/"good habit." Think of it as your son is transitioning... and for now at least, your finger helps him. One day he won't need it.
At least he only wants it when going to bed, and not at the Mall or something! LOL!
Well good luck and take care, just some ideas,
Susan