Are we talking about the web-based setup?
Normally you first define the icingaweb2 database. If that does not exist that setup asks for a privileged user to create that database (mostly root). The setup then creates the database.
After some questions about logging and other stuff the setup asks for the ifnormation to the IDO database. That is were icinga2 stores the history, objects and so on. This normally gets created during the icinga2 installation (at least on ubuntu), if I remember correctly.
If you get that message this means, if I am not mistaken, that icinga2 is not running and/or the DB has not been created.