I am outside US.
I have set up 2 Onn devices and yes, outside US you will need make provision to use VPN for first log in. My devices would not set up over hotspot with phone or laptop. I installed VPN on wifi router and worked like a champ.
Now, after you sign in first time and click thru all the initial menus you are good to go and no longer need VPN. You will only need if you choose to factory reset for what ever reason. I factory reset couple times to “start over” with initial set up, just connect to router with vpn and good to go.