That's a little odd, as the camera will generally display the error "cannot perform requested function using this media" if you try to finalize a DVD-RW (which does not require finalizing) or unfinalize a DVD-R. You should, however, be able to replay the movie on the camera desipte either of these.

There are several likely issues: it is important that you plug the camera into an AC outlet before attempting to finalize; you should also avoid moving the camera while the operation is in progess. It is possible that there is a fault with (or damage to) that particular disk, which would be unfortunate but it does happen.

If you find this happens even when you change disks, there may be an internal fault with the camera and should contact Sony Customer Services to get it rectified. This post has a link and a phone number you can use to help you diagnose the problem and, if necessary, organise a repair.

Best wishes

Mick