During the last scenario lieutenants don't appear if they were defeated in previous scenarios. But what about the Lts. that didn't show up. Do I understand correctly that if we didn't play a scenario (for example with Lady Farrow) the heroes couldn't win it so the lieutenant (thw vampire in my example) will appear in the finale game?

I presume you got it right.

If the heroes never encountered a particular LT, then they obviously could not have "defeated [her] in a previous scenario." Therefore, yes, she would be there in the finale.

In the rules of Scenario play it is stated that if the enconter was not played during the campaign, that enconter is considered a win for the overlord. So any LT's in that encounter are available for play in the finale, if the finale requires them.