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Keep installation dialog open at step 4 until user clicks "Connect".
It would be very useful to not close the installation dialog until the user clicks "Connect" in the pop-up, as shown in the mock-up screenshot below.
That way they don't have to remember all 6 steps by heart. If they miss a step and the device doesn't show, they can just repeat it to make it show up.
This will be useful even on small screens where it overlaps, as it still saves the user from having to go through the setup steps.

Implementing this turns out to be more complex that I thought it would be.