Only one NULL for one part of primary key
If I understand your question properly, SQLServer's partial index can do the job :

-- only 1 FinishDate nullable 
CREATE UNIQUE INDEX IDXU_TAB1_1NULL ON TableName(FinishDate) WHERE FinishDate IS NULL;
-- or only 1 FinishDate is nullable for the same PersonId
CREATE UNIQUE INDEX IDXU_TAB2_1NULL ON TableName(PersonId, FinishDate) 
WHERE FinishDate IS NULL;


Just to repeat what's already said :
  1. any column which is part of PK cannot be nullable
  2. as  Chris Travers mentioned in his comment to another answer, SQLServer treats NULLs in a different ways than other RMDS when it comes to unique constraints