Yeah, that's intentional. The sticker means you can't use a USB cable for the initial setup.
The fix: You have to set it up wirelessly first. Use the HP Smart app and an internet connection. After it's fully configured, you can print using a USB cable if you need to, but the printer must also stay connected to the internet.
If that didn't work: If HP Smart can't find the printer during wireless setup, the Wi-Fi setup mode probably timed out. Swipe down on the display, go to Network Setup > Restore Network Settings, wait a minute, and try the app again.
Heads up: Don't peel off the sticker just to use USB for setup—it won't work. The initial handshake has to happen over the network.