I just got more or less the same problem and managed to fix it.
in web.ui\setup\active_directory.aspx method Page_load(object sender, EventArgs e) there is a call on line 21:
db = new stDataContext();
the default, parameterless stDataContext constructor is as follows:
public stDataContext() :base(global::SlickTicket.DomainModel.Properties.Settings.Default.SlickTicket, mappingSource)
The problem is that the DomainModel settings do contain a slickticket setting with the default connectionstring as default, so aslong as you use the local sqlexpress database, it works.
If you however configure your own db connection, different from the default one, then it will find it for the db setup but not for the active directory setup (active_directory.aspx)
This can be solved by either changing the parameterless stDataContext constructor to:
public stDataContext() :base(ConfigurationManager.ConnectionStrings["SlickTicket"].ConnectionString, mappingSource)
or by changing the call to the stDataContext in the active_directory.aspx page_load method to include the connectionstring there:
db = new stDataContext(ConfigurationManager.ConnectionStrings["SlickTicket"].ConnectionString);
Both should work.