If I do iPhone finance through Apple. What happens with the trade-in value I receive when I trade my phone?

You don't have to trade-in a device to begin the iPhone Upgrade Program, however I'm guessing if you did, the price would be reduced or you use it to make some of your monthly payments. However, you are probably better off selling that phone on your own and get a better price than the trade-in price.

When you say finance the iPhone through Apple, are you referring to the iPhone Upgrade program, where you pay monthly? If so, to get a new phone, you trade the phone back into Apple, and the balance of your 24 month financing is forgiven. You do not receive any trade-in value for the phone, since it is not your phone to start with. All you are doing is leasing the phone, unless you decide to pay the entire price over the 24 month period. Then it is yours, but you are also done with the iPhone Upgrade Program, and you can do what you wish with the phone. See these two support documents for additional information, iPhone Upgrade Program - Apple

iPhone Upgrade Program Terms and Conditions

I don't know if it will be the same for you, but in my case I signed up for Apple's GiveBack program first, then signed up for the Upgrade program. They gave me no credit toward my new iPhone, and instead split the trade-in value between credit back onto my credit card and the balance on an Apple gift card (which can only be used on Apple products, not the iTunes or App Stores). Honestly, if I had to do it over I'd have sold my iPhone myself.