Hello   @O.V. 

May I know at which step the kasa set up failed, or what is the error message on the APP?

Here is an instruction to troubleshoot installation concern, please give it a try and see it helps: 

What should I do if I fail to configure the Kasa device?

Note: turn off VPN on the phone

If the set up failed at last step kasa failed to connect to wifi network, please verify 2.4Ghz wifi password and confirm correct wifi password was given in during set up process. 

How to Verify Router Wi-Fi password? 

•  Forget router Wi-Fi on your mobile phone and manually input Wi-Fi password to verify router’s Wi-Fi password is correct.   ( Phone Settings > Wi-Fi >tap router's Wi-Fi SSID to forget network or Long press wifi name to delete the Wi-Fi profile).