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The step that's giving you trouble is the one described in the text directly above the phone screenshot in the guide. Try redoing that one.

I think the step you missed was going over to the QR code on your computer and clicking that. You need to make sure it says that it's showing the private key by checking on that status. It's on the right.

You know you've done it right when the QR code is blowing up really big in the center of the screen.