I don't really understand the problem: there are many toolkits that are not part of the distribution (cmocean for example).

Yes, but they are not toolkits that are being removed from mpl. The deprecation gives no clue as to where the new toolkit is, or even what it is called. Is it available anywhere other than via github? pip search cmocean shows that it exists under that name, and can be installed; pip search finance yields a long list, but I don't see anything that might be our finance toolkit.
Don't you think a user of finance.py might be puzzled upon seeing that deprecation message?

I'd indeed add the mpl_toolkits finance to pypi if it hasn't been done, to do a proper release. I can take care of this.
We've done something similar in slkearn, when we removed the hmm from sklearn and released it as a separate unmaintained project. There was not much confusion, but we did do a proper release and probably added a note somewhere to explain how to pip install it.