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Completing a module that is not finitely generated is often very bad for its health. That's why derived completion (a gentler kind of completion) was invented (just do a google search).
You can not push forward classes from an open subset. The Chern character does not exist, in general; the closest that comes to my mind is the Riemann-Roch map.
I'd be happy to, but I really don't like to interact with anonymous users, so could you please send me a private email at <angelo dot vistoli at sns dot it> telling me who you are? Thanks.
Why should that be true? In fact, a quasiprojective variety $X$ with the property that $\mathrm{H}^i(X, F)$ is finite-dimensional for all locally free sheaves $F$ is projective.