What specifically do you expect the button to do, and what specifically happened?

e.g. "I expected pressing the button would continue to step 9, and at the end no theme had been added. However, a theme was added and I have confirmed that theme definitely did not exist prior to running the Setup Wizard."

I just ran through and it all seemed normal.

I expected to be able to skip to Step 9 but the button wasn't actively linking so I had to create a theme to continue. Will retry on a fresh install but that was my experience.

I can reproduce if I turn previews on in the config, click preview button first, then try and click skip (nothing happens).

Automated response: Setup Wizard Skip buttons won't work after Preview buttons clicked

If previews are enabled, and the user previews prior to skipping, the skipping button will not appear to do anything.