If you get stuck with the msg on the device screen while setting up Microsoft Band initially, one quick fix may be to uninstall Microsoft Health and then repeat the Bluetooth pairing between your computer and the device. See more detail at the Microsoft forum.
When you go back to the Microsoft Health, you may be prompted to update firmware, as shown below. The upgrade, which takes about 10 minutes, is necessary to complete the setup. Once that is done, the rest should be very straightforward.
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