Hey Jamie,
I'm not sure what to make of this one, as it doesn't happen on my home box. But on Virtualmin.com when installing Joomla (into subserver jdev.virtualmin.com), I get the following error:
Failed to run sample database setup script : ERROR 1045 (28000): Access denied for user 'virtualmin'@'localhost' (using password: NO) .
Obviously, we're not sending a password, but as mentioned, this exact same sequence of events works fine on my desktop machine. So, it's probably not actually a bug, but it is probably something that ought to be understood just in case we see it from any users who have older installs.
BTW-I tried resetting the virtualmin server owner password on the assumption that a MySQL password never got configured (I didn't start out with any MySQL databases enabled for virtualmin.com...which might be the source of this trouble).
Anyway, obviously, it's not urgent, just something that has me a bit stumped.