I experienced this issue and filed a Tech Support request with my hosting provider, Host Gator, to allow this. They did a
GRANT USAGE ON *.* TO 'my_user'@'localhost' IDENTIFIED BY PASSWORD 'some_numbers'After doing this, I was able to complete the setup wizard.
GRANT SELECT, INSERT, UPDATE, DELETE, CREATE, DROP, REFERENCES, INDEX, ALTER, CREATE TEMPORARY TABLES, LOCK TABLES, CREATE ROUTINE, CREATE VIEW, CREATE ALGORITHM ON `my_database`.* TO 'my_user'@'localhost'