SRVE0255E is a WebSphere error related to an incorrect url. If you are using IHS that can have an effect as well.
The direct finalize setup url is https://server:port/admin/setup (The port should be the same as the one for jts)

Perhaps the admin.war wasn't deployed or configured correctly.
Or possibly there is a problem accessing the URL especially if your applications are distributed across multiple servers or multiple applications on the same server.

That JTS Warning Message usually has something to do with user mapping between applications so that is probably just a side effect.

Hi,
    I'm not using IHS, my environment is a single server on AIX with a single WAS 7.x and a DB2 9.7.x
the applications are all on the same WAS .
This error don't let me create a Lifecycle Project for the rest seams working fine.
Thanx in advance, Adriano

So it sounds like admin application  isn't configured correctly or didn't start.
Can you access https://server:port/admin/setup
Is the admin application running in WebSphere?
Note I am using WebSphere 8 so the paths may be slightly different.
To check open the WebSphere Administrative console and go to the following section in the left hand column.
Applications -> application types. Click on  WebSphere enterprise applications. Make sure admin has a green arrow next to it.
If it has the green arrow then it is running. If it is running click on it and check the "Context Root For Web Modules" in the right hand column to be sure the context root is correct (/admin).

You might try grepping through the logs for any errors related to /admin
The logs will be in .../AppServer/profiles/<profile-name>/logs and ../logs/Server1

I dropped the DB2 DBs and create again + create tables and did again the SETUP and now the Finalize Setup terminate successfully.
The problem was probably due to the DB2 DBs were not dropped from RTC v4 Beta RC2 to RTC v.4 G.A..
Thanx for support, Adriano