How should I finish the area around the gas line for my range?
You should have them come back, remove the valve, and install an elbow and a short nipple so the valve is outside the wall (make sure it's out far enough so that it's outside the finished wall). Then have them install the valve again.

If you know what you're doing, you could do the work yourself, but I don't recommend it.

Unfortunately the pipe bends the wrong way after the last elbow, otherwise you might be able to give it a quarter turn so that the elbow pointed out into the room. In your situation, however, this would loosen the joint, so it's not recommended.