This is perfectly normal.
The Snap uses WiFi, as in the wireless communication protocol, for setup. The Snap itself does not broadcast internet.
After receiving this prompt, tap it, and select yes when it asks if you want to stay connected. If you do not tap yes to respond to this prompt, you will be unable to pair your Snap.
The words displayed on your Android device may be different, but you want to ensure that the device from which you are installing the Snap is connected to the WiFi the Snap is broadcasting.