Reproduce:
1) Delete or rename ../frontends/php/conf/zabbix.conf.php
1) Open zabbix setup in browser and fallow instruction (make sure that ../frontends/php/conf directory isn't writable to zabbix user)
2) On last setup step download zabbix.conf.php to ../frontends/php/conf directory
3) Refresh page or press finish

As a result setup is finished that means you should be redirected away from setup page.