shortcut for cycling between different windows of Finder on Mac (not the tab)?
Besides checking on System Preferences / Keyboard / Shortcuts that the shortcut is indeed active and enabled, check also on the "Window" menu on a Finder window. There should be the shortcut. In this case Command + `".



As you've been suggested as well, check that your PHYSICAL keyboard has this key and doesn't require a modifier (like SHIFT) to be used. If you're using a foreign keyboard set, like a spanish or azerty keyboard, for example, you need to find out what the right key is.

Another idea would be to go to System Preferences / Keyboard / Input Sources and enable "Show input in menubar". You'll get a new menubar icon, from which you can select "Show Keyboard Viewer". In this tiny keyboard you can see where your keys are mapped. Maybe (just maybe) your tick (`) key is not where you think it is. This viewer should help you.