The final language is a language containing a finite number of words. The simplest cases are those that do not contain words at all, an empty line and one line consisting of one character (for example, a in your example).
I think your confusion stems from a misunderstanding of the rule you are quoting (as well as some of those who comment on the question).
(Kleene's theorem). A language is regular if and only if it can be obtained from finite languages using three unions of operations, concatenation, and repeating a finite number of times.
The passage does not talk about the number of operations on lines needed to create all the lines in a language, but about the number of operations in simpler languages needed to define a specific language. You mentioned language is built, starting with the final language (set {"a"}) and applying the repetition operator once.
Another and less direct way to put an end will not involve languages and operations on languages, but expressions denoting languages and more complex expressions combining them: a language is regular if and only if it can be denoted by a regular expression containing a finite number of operators.
Take an expression like a , denoting a finite language containing only one word "a". We can add a single repetition operator to this expression, and we get a* , an infinite language containing all concatenations of zero or more words from the first language. We can construct each finite expression E based on expressions denoting finite languages and combining one or two smaller expressions F and G using the patterns E = F | G, E = FG, or E = F * will denote the correct language. Expressions denoting final languages (languages with a finite number of words) are the main case when a rule is expressed in expressions; final languages are the basic case when the rule is specified directly in terms of languages, without any bypasses in the field of expression.
If we allow combining, concatenation, and repetition to apply infinitely many times (or, what is the same, if we allow infinite expressions using the rules for regular expressions), the resulting language is not guaranteed to be regular. It is an analogue at the level of a regular observation language that infinitely large context-free grammars can define non-contextually free languages, as evidenced by Van Wingharden's grammar.