This is a good question.
In previous moodle version (1.5) the datasets were created at the third step which cause errors.
So when you create a new question private datasets are created "silently, in the backgound
when you click save on the first page.
So when you access the second page, there are same existing private dataset.
Ideally the code should check if from the creation date it can be concluded that they were just created a fraction of second ago (which fraction as the
server speed could vary a lot..).
This second page is used to offer the choice of either private or shared datasets.
Pierre
P.S. For Moodle 2.0 there will be a simple calculated question using only private datasets that the user could create in a ONE page form.