Why don't I see the IV in the FINISHED fragment in TLS_RSA_WITH_AES_256_CBC_SHA communication with OpenSSL?
Nothing is wrong, it is just that when decrypting CBC cipher text, the IV will only affect the decryption of the first block. The first cipher text block will be used as IV when decrypting the second cipher text block, the second cipher text block will be used as IV when decrypting the third cipher text block, etc. 

Consequently, if the IV is prepended to the CBC cipher text, you may actually use any arbitrary IV you want when decrypting the cipher text, as long as you "decrypt" the IV as well and discard the first block of decrypted text prior to presenting the plain text to the next layer.

Hence, none of the information you provide in your question is inconsistent with the cipher text fragment really being a GenericBlockCipher.

Also note that in TLS 1.2, the IV of a GenericBlockCipher fragment will typically be generated randomly. In particular, it must not be identical to the IV optionally generated by the KDF in TLS 1.0 compatibility mode.