First, a quick comment. Your statement "From the fact that $\varphi$ does not logically follow from some $\Delta$, we know that $\neg\varphi$ follows from every $\Delta\subseteq \Sigma$." is incorrect: when $A$ is a set of sentences, "$A\not\models b$" is different from "$A\models\neg b$." We could have $b$ be independent of $A$ - that is, $A\not\models b$ and $A\not\models\neg b$.
What is true is that since $\varphi$ isn't entailed by any finite $\Delta\subseteq\Sigma$, $\neg\varphi$ must be compatible with every finite $\Delta\subseteq\Sigma$ in the sense that, for every $\Delta\subseteq\Sigma$, the set $\Delta\cup\{\neg\varphi\}$ will be satisfiable. (It's arguably more natural to say "consistent with" instead of "compatible with," but consistency is a syntactic property which isn't needed in this purely semantic question, so I want to avoid using language which might bring in confusion.)
This is in fact the crux of the problem!
Saying "$\Sigma\cup\{\neg\varphi\}$ is finitely satisfiable" just means "$\Delta\cup\{\neg\varphi\}$ is satisfiable for every finite $\Delta\subseteq\Sigma$." But "$\Delta\cup\{\neg\varphi\}$ is satisfiable" just means "there is some model of $\Delta\cup\{\neg\varphi\}$," which is to say $$\Delta\not\models\varphi$$ ("$\Delta\models\varphi$" means exactly "every model of $\Delta$ satisfies $\varphi$," which can't be true if there is some model of $\Delta\cup\{\neg\varphi\}$).
All that is to say that the statement "$\Sigma\cup\{\neg\varphi\}$ is finitely satisfiable" is equivalent to "For every finite $\Delta\subseteq\Sigma$, we have $\Delta\not\models\varphi$." But this latter statement is precisely our hypothesis "$\varphi$ does not logically follow from some [finite] $\Delta\subseteq\Sigma$!"
Note that the phrase "logically follow from" could confuse things here: it's meant in the semantic sense ($\models$), not the syntactic sense ($\vdash$).