You are very correct about the URL for Connect-to-Popup test steps. I have logged feature request 104948 to track this. i'm going to try to convince development this is actually a bug so we can address it sooner. We'll see if I am successful in that attempt.
In the meantime you can work around this by removing the server portion from the PopupUrl property as shown in the attached screenshot. Leave just the Page part of the URL in there. Also make sure that IsUrlParial is set to True, which is the default.
the Telerik team