The problem with EVM wallets is that they frequently interfere with each other, when you have multiple of them installed. MSQ only works with Metamask: not Brave wallet, not TrustWallet, not Opera wallet or any other.
Make sure your browser has only MetaMask installed.
Re-do the thing.
P.S.
It opens a website instead of the wallet on that step because it comes from the times when it was not possible to express multiple accounts selection UI via the snaps SDK - so we had to invent a way to enable this UI by our own.