They seem to prefer it this way.

Strong doubt. What's lower friction, "visit this address in your browser and login to start configuring" vs. "go download this app, open it, possibly log in and register an account, add 'your' device, and only then start to configure it"?

Let's also not forget the possible chicken-and-egg situation of needing the Internet to download an app to setup your new router to access the Internet...