Theoretically you could use a router-level VPN for initial setup and that would work. Because VPNs are not functional for Apple services on Apple devices. Apple services bypass the VPN and reveal your real IP address, or in the case of trying to get different features, reveal your location to Apple.

Even if they were functional you still would want to use a router-level VPN because you couldn't install a VPN before your device connected to the internet.