That’s just a bizarre instruction. “You can now disconnect from the Internet.”
I almost blew it too by clicking the “Cancel” button because (1) I thought it was all done and it was the only button shaped thing available, (2) I do not want to disconnect anyway.
Luckily, I noticed in time that the progress bar was still working.
I know Microsoft takes a lot of abuse for no reason other than that they are M$, but it’s just so easy with stuff like this.