Setup saves a $_SESSION variable, then tries to read it back. Usually that error means it can't and there's something wrong with the way sessions are set up on the host.
If you create a file in the modx root called test.php with this code:
Then visit yoursite.com/test.php in your browser, you'll get information about the host's configuration. Check the session.save_path in the Session section. That will tell you where it's trying to save the session data. If that directory isn't writable, it would cause the error your seeing.
Don't forget to delete the file when you're done, because it provides too much information for hackers.