the connection permission error never lies, permissions are per host by default with MySql so I think you need to give permission to 'youruser@localhost' or 'youruser@any'
What version of Mono and what OS are you using again? I've lost track.
The thread abort exception sounds like something I'm seeing in mono built from svn but not the 2.2 release. To get past it try copy the files from /Data/skins to /Data/Sites/1/skins/
The setup page tries to do this but it throws threadabort exceptions using current mono from svn
If the folder /Data/Sites/1/ exists it should skip this on the setup page.
Hope it helps,
Joe