The most likely reason is that the Sony DAT is not capable of receiving AES status bits on the optical inputs. It is unfortunately normal that a (consumer) DAT or MD writes "No Lock" or something similar when you try to connect it to a device sending AES data.

To solve this please:
Go to the STATUS BITS on the TOOLS/DIO/OUT page and set the STATUS BIT out to "SPDIF".

Please also make sure that the output format from the Finalizer is set correctly .
The Optical output must be TOS not ADAT. You can set this on the MAIN/OUT page.