This is correct - @Rene_Idrogo you must not continue with the setup process once you have connected your device to your local WiFi. If you go any further the device will connect to the cloud servers, which locks you out of local control. If you’re at this stage don’t worry: just reset the device and try again!
I have an RM4c Mini which I initially setup using the app, and aborting after letting it connect to the home WiFi. I’ve since managed to set it up without using the app at all: see Broadlink/Bestcon RM4C Mini via MQTT