Not familiar with the Trigger Finger controller. Is this a CC controller or a note on/off controller?
Note ON appears to be the trigger of choice for MyDMX for scene selection. Based on your description, you're trying to do it right. There is no work-around, that is how it works.
Right mouse click the scene, select the learn trigger option, hit your pad and then it vanishes and it's learned.
CC controller information is best set in the EDIT page on a per DMX channel basis. You can assign the same controller to multiple channels. Really cool if say you want to control multiples of the same thing yet they are assigned different addresses.
One thought: Your Trigger Finger is a CC controller. Since it lacks Note Capability, that is why you're unable to use the right-mouse click in the USER Window. But since it appears to be a percussion-type controller(information is not easy to find), that's most likely not the case. It does support note on/off commands.
Make sure your controller is plugged in and turned on before you start MyDMX. If you don't, and it's a USB device, MyDMX won't be able to see it.
It appears that your devices are working properly as you claim they work in other programs. But the fact that two controllers don't work is somewhat bothersome.
I have tried Korg nanoKONTROL nanoKEY and nanoPAD controllers on MyDMX, which are USB MIDI controllers. I use the nanoKONTROL for channel controllers, and I have used the other two for scene triggers and they work fine. I have also used my MIDIMAN 2X2 MIDI interface as well as my Firewire 410's MIDI interface, using a Roland MS-1 microsampler as a controller with MyDMX as well for scene triggering.
Ask more if you need to. It's not a problem.