DIAGNOSIS The setup process for the Weber Connect app is notoriously finicky. The most likely cause is that your phone is trying to connect to your 5GHz home WiFi network during setup, which the grill's module doesn't support.
FIX Force your phone onto your network's 2.4GHz band before starting. The surefire way is to go into your phone's WiFi settings, 'forget' your home network, then re-join it. When it asks, explicitly choose the 2.4GHz option (often has a slower speed listed). Then, with the grill on and in connectivity mode, restart the app setup process from scratch.
IF THAT DIDN'T WORK The next step is a full module reset. On the grill's controller, hold down the 'WiFi' and 'Feed' buttons simultaneously for about 10 seconds until the display resets. This clears the grill's network memory. Then try the setup again, making sure your phone is still on 2.4GHz.
HEADS UP The grill only broadcasts its setup network for a few minutes. If you take too long, it times out. If the grill's display stops showing the setup icon, turn the dial to 'OFF', wait 30 seconds, and turn it back on to 'SMOKE' to make the network reappear before trying on your phone again.