It appears it was documented as a known issue but not sure if it went anywhere, I added my information to it with these steps and the work-around, so hopefully it'll get fixed.
I'm actually seeing two records from sp_who2 for my system database and killing one allows the DMU to go through with the system database successfully, whereas if I don't do these steps, it won't do anything at all, but also doesn't throw any type of error message.
The actual steps I used were/are:
1. Make sure all users are out of Dynamics GP and SQL Server. Stop and restart the SQL Server service.
2. Run sp_who2 and make sure no SPIDS for GP databases.
3. Launch Database Maintenance Utility from Dynamics GP 2018 R2 by right-clicking on DBMaintenance file and choosing 'Run As Administrator'
4. In the Database Maintenance Utility, once I enter the SQL Server and system database, when I run sp_who2 again, I see two SPIDS for my system database that I specified, both show 'AWAITING COMMAND'.
5. Marking the system and company databases, all features and all objects to re-create in the Database Maintenance Utility, nothing happens and it just goes to the Finish screen with no errors or anything showing at all.
6. If I repeat the steps 3-5 but only marking the company databases in the Utility, not the system database, everything works fine.
Work-around steps:
7. If I launch the Database Maintenance Utility again, put in the SQL connection information, select the system and company databases, all modules and all objects to re-create, but stop there....
8. Running sp_who2 again, I still see the two records for my system database for Dynamics GP, so I use the KILL command to kill/remove the 2nd SPID, leaving only one record for my system database.
9. At that point, back in the Database Maintenance Utility, I click to continue and now it will re-create the selected objects for the selected modules, for both the system and company databases for Microsoft Dynamics GP, without errors. The Finish window shows green check-marks on everything.
I've verified this is the case for different builds of Dynamics GP 2015, GP 2016 and GP 2018, including GP 2018 R2.
I'll get the documentation updated and back to our development team and hopefully we can get that fixed, as the DMU is something handy for troubleshooting and we use it a lot here on the support team as well.
Thanks for pointing it out to us, so we can get it figured out.