Hello,
Thank you for your query and we are so sorry about the trouble this must have caused.
For now, you can skip that step and proceed with the setup wizard in order for Rank Math to be fully installed on your website.
Once the setup wizard is done, can you please try this on an incognito window or private window to check if there’s still no action? A new tab should be opened whenever you try to connect your account to your website.
You can connect your website by going to your WordPress Dashboard > Rank Math > Analytics > Connect Your Rank Math Account:

Also, please make sure that you are logged in to your Rank Math account first before doing the steps above.
Please keep us updated on the issue at hand. We really look forward to hearing back from you. Thank you.
Hello,
Since we did not hear back from you for 15 days, we are assuming that you found the solution. We are closing this support ticket.
If you still need assistance or any other help, please feel free to open a new support ticket, and we will be more than happy to assist.
Thank you.