Path to configuration file is set up in CConfigFile.php. By default is is an absolute path to file. For example /etc/zabbix/web/zabbix.conf.php, but zabbix UI may not be installed there. It can be installed in /usr/share/zabbix/, for example.
CSetupWizard merges together the current directory and configuration file directory creating a non-existent path to configuration file /usr/share/zabbix/etc/zabbix/web/zabbix.conf.php.
So a user is somewhat forced to create that directory. It doesn't create automatically. When creating such directory and configuration file is saved there, setup at the end reveals that it was saved in etc/zabbix/web/zabbix.conf.php, which looks like a relative path, but that is not entirely true. File is actually saved here /usr/share/zabbix/etc/zabbix/web/zabbix.conf.php.
When successfully saving the configuration file and navigating to UI, user is again greeted with same setup, because the real configuration file is still not in the correct place. UI is looking for a file in /etc/zabbix/web/zabbix.conf.php, but setup didn't create the file there.