Diagnosis
The plug is in setup mode but can't find or join your 2.4GHz network. Most likely, your phone/network is defaulting to the 5GHz band or the plug is too far from the router during setup.
How to Fix It
Force your phone onto the 2.4GHz network first. Go to your phone's WiFi settings, forget your home network, then re-join the 2.4GHz band specifically (it often has a separate SSID like "YourNetwork_2G"). Then restart the Kasa setup process with the plug very close to the router.
If That Didn't Work
Factory reset the plug. Hold the side button for 5+ seconds until the light flashes amber and red, then release. This clears all previous network data. Try setup again with the forced 2.4GHz connection.
Heads Up
The KP125 does not support 5GHz WiFi at all. If your router broadcasts a single SSID for both bands (band steering), you may need to temporarily disable 5GHz or split the bands into two separate network names in your router settings.