Wot Zandit said.

You've had a bit of conflicting information above, because some people were assuming a glued, rather than screwed neck. It's fairly standard to apply finish to the whole of the neck (apart from a rosewood or ebony fretboard). This is a standard manufacturer practice. Obviously the finish around the heel area needs to be nice and flat, no lumps anywhere, so that it sits well in the pocket with maximum contact area. But avoid adding too much finish to the area that sits in the pocket as it may make it too tight a fit. A good interference fit is ideal, but you don't want to have to force the neck into the pocket.

It's also fairly normal for a bolt-on neck pocket to be left mainly unfinished - with the finish just running over the edges but no further. Maybe a single thin coat of clear to help seal the wood, but no more. It's an awkward area to work in, so you don't want thick uneven layers of finish that you can't easily get to to sand smooth. And again, with finish on the neck and the pocket, you can easily end up with a too-tight fit.

But for a glued-in neck, as much of the mating surfaces as possible need to be left unfinished, just bare wood, so that the glue penetrates and sticks well. You still need to just run the finish over the edge of the pocket edges (it really does help the finish stick at the edges), but only by 1-2 mm.