It looks like SteemConnect does not support the operation create_claimed_account (a 'new' operation that came with HF20). This has been the case for KeyChain too, but it worked in my last test. I just needed to update the extension. Do you use the newest version? Chrome/Brave or Firefox?

When I'm done with my current stuff, I will try to create 2 accounts with KeyChain (one with a Chromium based browser and one with Firefox, because in the past there have been big differences regarding Steem API support in KC between those two).

I will come back to you later ;)