Trying to set it up

> [...] I can't use WiFi. [...]

   What happens when you try?  "can't" is not a useful problem
description.  It does not say what you did. It does not say what
happened when you did it.  As usual, showing actual actions (commands)
with their actual results (error messages, LED indicators, ...) can be
more helpful than vague descriptions or interpretations.

> [...] So I try with cable. Do I really have to connect my modem to set
> it up. [...]

   I wouldn't think so.

> [...] Could not get any further get any further when it complained
> about internet not connected. [...]

   Regarding "Could not", see "not a useful problem description [...]",
above.  What is the actual complaint message?

   I haven't touched an RAX40, so I know nothing, but I'd expect it to
offer a means to escape from the set-up wizard.

   Worst case: Connect it to a modem until it gets past the blockage,
and then disconnect it from the modem.