I have seen this exact issue when my IE cached the page and was stuck with the client 000 RFC's selected on step 3. I just exit managed sys config and clear my cache and start solman_setup again. To avoid this all together I set my IE to check for newer versions of stored pages every time I visit page. (under internet options -> general -> browsing history -> tempory internet files)
Then
In step 3 create the user to avoid security issues or auditor problems later on. This way the SM_ADMIN_XXX will have the proper roles required. Please note (The user is not authorized to use a Trusted RFC (authorization object S_RFCACL). To authorize the user, assign the role SAP_SM_S_RFCACL manually).
Confirm there is no error and hit next. For an explicit save.
Now go to step 5 and select the client that the RFC's were created on and hit test credentials.
This should solve your issue.