The simple past, as in
I finished my work this week.
is used expresses an action that started and finished at a specific time in the past. Your explanation is correct: Your week's work is finished.
The present perfect, as in
I have finished my work this week.
is used to express an action that took place in the past and that still informs the present--though your week's work is done, your present condition is still in some sense being affected by this work.
In these examples, the difference is very difficult to discern, and in fact one may use them interchangeably without intending to convey different meanings. But consider another example:
He sang in church for two years.
This is simple past, and it means that he sang at church for some two year period in the past, and that he is no longer singing in church at all. That is done, and has no bearing on his present situation.
He has sung in church for two years.
This is the present perfect, and it means that for the past two years, he has been singing in church, and this is something that he will continue to do. He did it last week, and he will do it next week, just as he has done (present perfect) for the past two years--the past still informs the present.
In the particular examples you give, I would say that either could be used with equal meaning--that a speaker would not necessarily intend to suggest that, having finished his work, he is no longer affected by it, or that he is (by "affected" I mean that he is tired at this time as a result of the work he had to do, or that he is now ready to go on vacation because the work is done--some present condition hinges on what happened in the past). People just don't speak that precisely. In the example of singing in church, however, I hope you can see that the difference is quite clear. In other words, there are cases where the information conveyed is important enough that people will carefully craft the tense they use, while in other cases, they won't, because the meaning just isn't affected all that much by saying it one way or the other.