I believe you are correct, the equality should be true in every case.
L1 and L2 are sets containing strings.
In (L1 U L2)r we are firstly combining sets and then taking each string from the combined set and reversing it.
In case of L1r U L2r we are firstly reversing each string and then combining the sets of reversed strings.
Clearly Union is an operation on sets & Reversal is an operation on strings of the set.
Since ultimately you are going to reverse all the strings in L1 & L2 it does not matters whether you reverse them before Union or after.
Also finiteness of sets should not affect this equality.