I'm pretty sure that the answer to this 8-yrs-old question is known to OP by now. The aim of this post is to provide a (partial) answer & a reference to the newcomers.
$C^*(G)$ embeds into a finite von Neumann algebra iff the FF-representations (unitary factor representations of finite type) separates the points of $G$. This follows simply from the factor decomposition of von Neumann algebras. If so, for example, we can choose $\bigoplus \pi(G)''$ as the vN-algebra that $C^*(G)$ embeds in, where $\pi$ ranges through all FF representations of $G$.
Every SIN group with a neighborhood system of compact open conjugation-invariant neighborhoods has a separating family of FF representations (17.3.6 in Dixmier's C*-algebra book). Conversely, if $G$ is a compactly generated LCG and has a separating family of FF representations, then $G$ is a SIN group with a neighborhood system of compact open conjugation-invariant neighborhoods (17.3.7 in Dixmier's book).
edit: There's a flaw in the argument above. $C^*(G)$ embeds into a finite von Neumann algebra iff the FF representations separates the points of $\mathbf{C^*(G)}$ (and not merely $G$).
Due to a result by Kirchberg, Connes embedding problem has a positive answer iff $C^*(SL_2(\mathbb{Z})\times SL_2(\mathbb{Z}))$ embeds into a finite vN-algebra. The group $SL_2(\mathbb{Z})\times SL_2(\mathbb{Z})$ is discrete, so a SIN group as above, so has a separating family of FF representations; however, it is an open problem (to the best of my knowledge) that FF representations separates the points of $C^*(SL_2(\mathbb{Z})\times SL_2(\mathbb{Z}))$.