It's very difficult psychologically to put together a team with the sole purpose of winning a single championship immediately. Champions aren't built that way; instead a core goes through a growth period of at least a couple of years, with perhaps a single major addition added the summer before to put them over the top. But the core of the Heat, O'Neal and Wade, are starting only their second year together, and all of the new players are going to be facing a pressure unlike they've ever experienced. It would be one thing if most of them were still in their 20s, but as it is they'll have to face a sense of "now or never" all season long.
In a way, that's one of the good things about the Suns not getting Finley. Depending on Nash's health, the window of opportunity for the current Suns team is at least two years, probably three. That's frightfully short, but it beats the heck out of just one.