I've never had a problem with finishing redwood burl , it's one of my most favorite woods . I'm not sure what kind of finish you are using but a CA finish is the easiest and best finish for any wood . There is a learning curve with the CA finish but it is worth it if you want a finish that will last more then a couple of weeks . Friction finishes are fast and easy but they don't hold up to daily use on a pen and will start to look bad in a very short time .
This is the CA finishing method I advise for anyone starting out http://www.youtube.com/watch?v=8zsJXC-17rU . There are many other methods out there and everyone has their favorite . I like this one because it is very simple and there is very little that can go wrong with it . The more complicated you make it the more things that can go wrong . This method will give you a good finish first time out then you can complicate it as much as you like .