After updating the system (apt-get dist-upgrade -y and rpi-update) the system needs to reboot. Otherwise the iptables commands can fail because of a kernel version mismatch.
This problem isn't always there, depending on how recent your version of the raspbian image is - but if dist-upgrade gets far enough ahead that the kernel version changes, it can cause problems.
As it is, if you get an error like Error: Unable to set iptables MASQUERADE on eth0., you can just reboot manually and restart the installer (no harm in just running it again).