Diagnosis
This is almost always a WiFi band mismatch. Your phone is likely on your home's 5GHz network, but the Lorex camera only connects to a 2.4GHz network. They're different signals, so the camera can't see the network your phone is telling it to join.
How to Fix It
First, you need to make sure your phone is connected to your 2.4GHz network. Go into your phone's WiFi settings. You'll often see two networks with similar names, like "HomeWiFi" and "HomeWiFi_5G." Connect to the one without the "5G" suffix. Then, go back into the Lorex app and restart the setup process. When it asks for your WiFi password, it should now be looking at the right network.
If That Didn't Work
Some modern routers combine bands into a single network name. You'll need to log into your router's admin page (usually by typing 192.168.1.1 into a web browser) and temporarily split or disable the 5GHz band just for the camera setup. Once the camera is connected, you can turn the 5GHz band back on.
Heads Up
The camera and your phone need to be close to the router during setup—like in the same room. Walls and distance at this stage will cause it to fail.