Does MPB cause burning sensation in thinning areas? Will finasteride help this eventually? (Photo)

Burning
sensation is not a known symptom of male patterned baldness. There are however,
some skin conditions that present with scalp inflammation and can lead to hair
loss. You should see a hair specialist to assess for miniaturization of the
frontal hairline and beyond and evaluate for other causes of hair loss.

I would strongly recommend seeing a dermatologist. Interesting, the early stages of androgenetic alopecia can be associated with symptoms or tingling and burning..... but so can at least a dozen other conditions including  Seborrheic dermatitis, Psoriasis, Scarring alopecias,  various other inflammatory diseases,  "Red Scalp Syndrome",  Irritation, Allergy, Infection, Alopecia areata, sun damage, scalp Injury and Trauma  Cancers. Other conditions also exist. It's a long list. Your dermatologist can guide you.

There are many other diseases of the scalp that could cause a burning sensation and hair loss. Some of them can cause scarring and need prompt treatment. In order to properly evaluate your situation you should see a board certified dermatologist. They may perform a biopsy. I would not start Rogaine or any other home remedies so that you don't complicate the situation. Some people with androgenetic alopecia (male pattern hair loss) can have symptoms of their scalp but it's best to seek a  professional opinion first.