If you see the following screen during the setup progress. 

Simply press the Finish button, then from the Settings option, change the USB mode from MTP  to Direct and save the setting.

Once the setting is saved please un-plug and re-plug the device into your car, without doing anything else on the phone.

After rebooting if the connection does not establish automatically, please re-open the companion app and from the settings menu enable the pass-trough option, then save the setting and un-plug/re-plug the device.

If after above procedure you are still facing issues please open a new ticket for support.