This happens because PHP sessions can’t stick from a request(page) to another and this usually is a issue related to plesk panels when configured in a certain way, but not only.
What you should do, is to create a file named phpinfo.php in your host where you try to install mailwizz and in the file put this content:
Save the file and access it via url, i.e: http://domain.com/phpinfo.php .
You should see a lot of info in the page. Using Ctrl + F search in page after session.save_path and you should see a value like /tmp/ or/var/lib/php/session.
Now, you need to make sure that folder is writable by the web server, that is, make sure it is chmoded to 0777 recursively. Once you do this, try the installer once again and it should work.
If it does not, all you can do is to ask your hosting provider about the issue.