The issue is that your phone is connecting to a WiFi network that doesn’t have an internet connection. So, instead of your phone just sitting there offline, it aromatically switches back to mobile data. Which is great for most situations and people.
On my Pixel 3 (Android P) phone I get a pop-up asking if it should to stay connected to the “dead” WiFi network. As soon as I hit yes, the app was able to finish setup.