It seems like your password-less setup is not working correctly and I have no imminent solution for this. Please check this doc again: http://dev.hortonworks.com.s3.amazonaws.com/HDPDocuments/AMBARI_DOC_SUITE/index.html#Item2.5
I am surprised the host has to be added to the known_host again, after you already sshed to the host with root?
Please also check the points below:
1) Make sure your local public key is in the authorized_keys file on the remote machine
2) Ensure your permissions are for the current user only in the home and .ssh directories (ie 700 or 644)
3) Ensure your sshd config allows key authentication
Good news I’ve hopefully an answer to your original question “How to install HDP on Ubuntu”. You can install the Ambari agents manually with this guide: http://docs.hortonworks.com/HDPDocuments/Ambari-1.7.0.0/AMBARI_DOC_SUITE/index.html#Item11.2
Installing the Ambari agents is the only reason you have to setup a password-less infrastructure in the first place. Hope this works for you.
During the install wizard you simply choose to automatically find hosts.