I wrote the Sakai Connector portlet. What are the allowed tools you have configured?
The portlet is designed to expose individual tools from Sakai and show them inside the portal (originally written for uPortal but also works in Liferay) - so things like Wiki, Forums, Resources, Profile all work really well since they are discrete tools.
You probably dont want to add the sakai.sitesetup tool to the list of allowed tools as that is a Sakai tool and allows you to add other tools to the Sakai site. And once you click Finish it performs a refresh which sounds like it is taking you to the main Sakai page inside the portlet.