Diagnosis
This is the setup mode loop. The speaker can't communicate with your Wi-Fi network, usually due to a 5GHz band mismatch or an incompatible security protocol.
How to Fix It
Force a restart and change your router settings. Unplug the Studio for 30 seconds. While it's off, log into your router and do two things: ensure your 2.4GHz and 5GHz networks have distinct names, and temporarily set your Wi-Fi security to WPA2-PSK (AES). Plug the Studio back in, open the Alexa app, and set it up using the 2.4GHz network name.
If That Didn't Work
The speaker might be too far from the router during setup. Move it within 10 feet, ensure no large metal objects are between them, and try setup again. If it persists, perform a factory reset by holding the Action button (the dot) for 25 seconds until the light ring cycles orange.
Heads Up
After setup, you can rename your Wi-Fi bands back if you want, but the Studio needs that initial stable 2.4GHz connection to bootstrap.