It seems really weird that Finn was kidnapped as a baby and then groomed to become a First Order soldier, and when he goes on his first (correct me if I'm wrong) combat mission, one of his buddies dies and he just chickens out.
Is there any canonical material showing Finn's training or why he defected, or is it just kind of a plot hole?
There are a few sources covering Finn's early years, such as his story in Before the Awakening and Age of Resistance - Finn. The "Serving the First Order" section of his Wookieepedia article cites a few more.
During his training, he's consistently shown to be more empathetic than his fellow would-be Stormtroopers - he releases some animals he had been ordered to exterminate, prioritises helping a squadmate over achieving the objective in a training exercise, and hesitates when ordered to execute unarmed negotiators, long enough that someone else does it for him. All this builds up to his final decision to defect after the massacre at the start of The Force Awakens.
There's no single, specific reason given why Finn was able to defect despite his childhood conditioning. We know he's not the only First Order trooper to defect (Company 77 did so as well) so it seems like their training simply wasn't 100% effective at turning children into obedient, emotionless soldiers. A few were able to retain or develop a conscience and Finn was lucky enough to escape before he was executed for it.
We get a pretty nice overview of Finn's though process from the canon novelisation Star Wars: The Force Awakens - Finn's Story.
He doesn't like killing civilians.
Slip had died for nothing. Even worse, his death had come as they were terrorizing and killing innocent people. That wasn’t what they had trained for. The First Order was supposed to represent peace and stability, not fear and death.
I can’t do this anymore, he thought.
He recognises that having failed to kill the civilians (as ordered), he's in a significant bind, one that results in extensive punishment.
FN-2187’s time was officially up. If he turned over his weapon to Phasma, the scans would show that he had disobeyed orders, and he would be punished. If he didn’t turn over the weapon immediately, she would assume that he had done something to disguise what the rifle would have shown, and he would be punished. If he didn’t show up at Phasma’s division within the next few moments, she would send some of her personal guards after him and he would be punished.
He identifies Poe as someone who can help him to escape both the immediate situation (punishment for not killing unarmed women and children) and the wider problem (that he's working for an organisation that is happy to order him to kill unarmed women and children).
He needed help.
But who would help him?
Everyone on the Star Destroyer was allegiant to the First Order.
Well, FN-2187 thought, not exactly everyone…
FN-2187 took a deep breath as he approached the cell. Once he entered, there would be no turning back. It was now or never. Confidence was key. He kept his stride steady, and the heavy door opened before him.
In the Star Wars book "Before the Awakening" by Greg Rucka, FN-2187 (Finn) excels in his training, being consistently in the top 1 percent. However, while he excels in training, he also has a conscience. This is evident by the fact that he tries to help "Slip" and even risks the mission to go back for him in the opening of Finn's chapter. Finn really becomes disillusioned when he is on his first deployment. He hesitates to kill one of the miners (even though Captain Phasma had told him to kill them), and cannot bring himself to do it. Slip ends up doing it for him. Other stormtroopers had a conscience as well. In "The Rise of Skywalker, there are other stormtroopers who defected as well. I think it was a combination of the First Order's cruelty and his conscience that made him defect. Hope this helps.
