This happened certainly in 3.1 and still in 3.1.1 and 3.2.
We have MSSQL in the network but I don't want the demo databases inserting therein. so I uncheck the 'createGraphicsDemoDatabase' box.
For some reason it starts browsing for SQL servers on the network anyway ... When it gets bored and comes back I can click next, but why did it insist?