I tried turning off mobile data and ran setup again with no luck. I checked my router and the bulb connects to the router but does not get an IP address from the DHCP server.
I am going to try a few more things.
EDIT: I had to turn off all wireless encryption and retry a few times, but got a connection. I was able to get to the firmware update section of the setup for the bulbs. After the update I will try again.