Some routers will have two very similar networks that you can connect to. This is because the 2.4GHz and 5GHz bandwidths are manually split and you can pick which network to connect to.
Cocoon is only able to connect to a 2.4GHz channel, so if your WiFi has two separate networks, please ensure your smartphone is connected to the network with '2.4' in the name, or the network without a '5' in the name. Once your smartphone is connected to the 2.4GHz channel, you should then be able to progress through the setup process.
In the UK, the 2nd generation Virgin router 2AC is known to have this, as well as the EE Brightbox.