If your finches eat their own eggs it means it's good for them because the yolk contains calcium in the egg.

If they are eating their own eggs they are probably lacking something in their diet or they are too young to know how to hatch them. If they are eating the egg shells then they are lacking calcium and eating the shells to replace the calcium in their bodies that they used to produce the eggs in the first place and you need to provide them with shell grit or calcium blocks.