"Setting up your Mac..." at every login (10.15.5)
Solution 1:
Following jaume's comment, I checked my login items (https://support.apple.com/guide/mac-help/mac-a-blue-screen-startup-problems-mh21210/mac).
It turns out that Setup Assistant had ended up in there, and was impossible to quit once opened. Removing it from Login Items and rebooting solved the issue.