The F-Secure SENSE router can update itself before running the setup if it is connected via a cable to a working Internet connection. This allows you to run the setup using the latest firmware with all available fixes. Also, this allows you to bypass the firmware update part of the setup process in the application.
To update the SENSE router:
Check that the Internet connection on your existing router works through a cable.
Plug the cable between the existing router LAN port and the blue WAN port on SENSE.