Not dure why it did not work. However, I have found that if you go into "setup.rul" and from the 2 dropdowns choose "BeforeMoveData" and "OnSQLServerInitialize" it will add some code that does the call to show the dialog. It must do some initialising that I didn't do.
I still haven't found out why it says my connection details connect fine when they are wrong, but that is my next issue!