From bug 4212. tl-setup does all the checks at startup. Let's assume that the LSB packages installs NFS support. In this case, the NFS "page" will incorrectly say that you need to install additional packages, even though this is no longer the case. The same problem will happen if the user installs packages manually while tl-setup is started but idle. My take is that checks shouldn't be performed until the corresponding "page" is activated. Another solution, though, could be to not perform anything at all until the end. This is Ossmans suggestion. That would not solve the problem with users manually installing things during the tl-setup execution, though.
One problem that often happens to me is that tl-setup warns about no Web server with TLS support running. In this case, I'm installing and starting a web server in another terminal. Then, I'd like to re-try the test. This is not possible; going back+forward does not perform the check again. Instead, I have to abort tl-setup and run it from the beginning again. Confusing and annoying.
I found an interesting behavior that exists due to this bug:
I got an error in the firewall-step of tl-setup. I made some changes to the system. I pressed "Back" in tl-setup and then "Forward" again in order to try again after the changes.
tl-setup continued to display the error message even though it successfully set up the firewall.