Electronic printed circuit boards (PCBs) are made from multiple layers of this (dyed green). At 0.015", it has a little flex though the thicker laminates are stiffer. I believe it's a thermoset and not a thermoplastic so it cannot be reshaped with heat. It can be sanded, filed, cut, drilled, machined, etc. By itself, the FR4 may be a little "soft" and can be scratched/cut or drilled through with an X-acto.
If the fins were made with 0.063" PCBs with or w/o the copper layers, the fins will be incredible strong but heavy.
It is epoxy/fiberglass so proper surface prep should get it to stick. It may not work for transitions unless the transitions have very large diameters. It almost seems like this material would work better for a thin fin core with balsa sides + paper skins.
Just my 2 cents!