DIAGNOSIS Your phone's Wi-Fi is likely interfering. The robot creates its own direct Wi-Fi network for setup (named something like 'Roborock-XXXX'), and if your phone is on a 5GHz network or has a VPN active, it can't see it.
FIX On your phone, go to Wi-Fi settings and manually look for the robot's network (you might need to press and hold the 'Home' and 'Spot Clean' buttons on the robot for 3 seconds to reset its Wi-Fi). Connect to it. THEN go back to the Roborock app to continue setup. Make sure your phone's cellular data is OFF during this process.
IF THAT DIDN'T WORK Some newer routers with 'band steering' or advanced security settings (like WPA3) block the initial handshake. Temporarily disable any 'Smart Connect' or 'AX' mode on your 2.4GHz router band and try setup again.
HEADS UP The robot only works on 2.4GHz Wi-Fi. You cannot complete setup if your phone is connected to your home's 5GHz network. Force your phone onto the 2.4GHz band before you start.