"Unexpected error" while extending Time Capsule with Airport Express
Working solution : Follow suggested setup steps on iphone instead of computer.

I encountered the exact same problem as you while trying to set up my airport express to extend an existing network. All attemps at doing so failed from my computer (MacBook Pro 16-inch 2019 with macOS Catalina 10.15.3). After going through all the setup windows and setting up the airport Express' password, it said "an unexpected error occured". 

After about 20 excruciating attempts and 3 different connection methods, I finally decided to try and set it up with my phone (Iphone 7 with iOS 13.3.1). In the wifi menu, I selected the airport express at the bottom of the page in a different list from usual wifi. I then followed exactly the same steps as those for a computer set up but on my iPhone and it worked!!