The girls' names are so very different in style! I think all the girls' names are lovely but none of the boys'.
Avery - OK if you like surnames as first names. Sounds like ?aviary? and too like popular girl's name Ava.
Caspar - One of the three Wise Men in the Nativity Play. Also sounds like Casper the friendly ghost.
Dylan - OK if you have a Welsh connection.
Finlay - Fine, preferably if you are Scottish.
Loki - IMO I would definitely cross this off the list - a Norse shape-shifter god which sounds like 'low-key'.
Mungo - sorry, it sounds odd, like an insult or a disease.
Nelson - Don't like surnames, unless your hero is Nelson Mandela (or Sir Horatio!).
Winston - Churchill is too famous and it also makes me think of a character in the Lenny Henry show.
Finlay is the best, some of them are too odd for most children to be comfortable with IMHO.