Thanks for getting in touch. I suspect the problem is that the connection string given is not a valid connection string. It looks like a server and instance name (TESTSERVER\DBDEPLOY) is being used and the failure is on SqlConnectionStringBuilder.
The value should be a full connection string, eg Server=myServerAddress;Database=myDataBase;User Id=myUsername; Password=myPassword;. Also see this page for more examples.
If you are still stuck, could you please send me a screenshot of the step configuration along with the version of Octopus you are using and the Step Name (and whether it is from the library or built in)