The integration to MSCRM is independent of the integration to Oracle Rightnow (=Oracle Service Cloud ) Oracle CX). You would normally have either one or the other, but not both, for a typical call. You could set up certain agents to work primarily with the CRM (for sales/ marketing), and certain other agents using Oracle Service Cloud (for ticketing/ service) - technically that's feasible but unusual.
Yes you can develop your own Finesse Workflow of course, which can trigger a popup in an external window. In that case as mentioned, look at login/ SSO issues. You would also have to manually swap between the CRM and Finesse, which can become cumbersome for Outbound campaigns for example.
Or you create your own Finesse Gadget, extract customer info from either MSCRM or Oracle CX, and then show it (in read-only mode?) to the agent - you would then have customer info, but not the CRM or CX user interface.