"FINALLY" is often, but not always, functionally identical to having the "final" code follow the TRY/CATCH (without a formal "FINALLY" block). Where it is different is the case where something in the TRY/CATCH blocks could cause execution to end, such as a return statement.
For example, a pattern I've used is to open a cursor, then have the cursor-using code in the TRY block, with the cursor close/deallocate following the TRY/CATCH block. This works fine if the blocks won't exit the code being executed. However, if the TRY CATCH block does, for example, a RETURN (which sounds like a bad idea), if there were a FINALLY block, it would get executed, but with the "final" code placed after the TRY / CATCH, as T-SQL requires, should those code blocks cause the execution to end, that final code won't be called, potentially leaving an inconsistent state.
So, while very often you can just put the code after the TRY/CATCH, it will be a problem if anything in those blocks could terminate without falling through to the cleanup code.