Even I am followed all steps once I click on last "Allow" steps its redirect to me on login page again.
- Click Use Custom Domain.
- Enter your Salesforce org's company-specific My Domain name. James enters ursamajor and the system adds .my.salesforce.com for him.
- Click Continue.
- Enter the username and password and click Log In.
- Click Allow to allow the app the access that it needs. - Stuck here
Below of the URL for the trailhead model.