VPN/Proxy erkannt
Es scheint, dass Sie einen VPN- oder Proxy-Dienst verwenden. Bitte beachten Sie, dass die Nutzung eines solchen Dienstes die Funktionalität dieser Webseite einschränken kann.
3 is not necessary, only internet is needed.
I would say that without nr.3 I cannot set the password for the access point. Without the access point protected by a password, I cannot connect Wi-Fi client.
However, now I cannot verify that anymore, as the factory reset is using the latest firmware. And I'm not going through the path of firmware downgrade to check that 
I leave it to the next one with old firmware.
This worked for me:
It seems that when sensor has access to home network and user can access embedded web interface via access point, then firmware update works without any need for "proxy" etc.
Therefore I succeeded by following the procedure:
1.Start with factory reset = unplug batteries, plug batteries back and press and hold smaller hole for 10 seconds (se User and Safety Guide and Press and hold the button for 10 seconds for Factory Settings Reset. Successful factory reset turns on the LED indicator to flash slowly.)
2. Then with computer, connect to (opened) Wi-Fi network shellydw2-<last-6-characters-from-mac-address> and open the default web page http://192.168.33.1/
3. In Internet & Security check that CLOUD` is enabled.
4. Then in WIFI MODE - ACCESS POINT configure some dummy password for another Wi-Fi network shellydw2-<all-12-characters-from-mac-address> and press CREATE Access Point
5. Connect computer to this Wi-Fi network `shellydw2-<all-12-characters-from-mac-address>` and again open the default web page http://192.168.33.1/
6. In WIFI MODE - CLIENT connect the sensor to your home Wi-Fi network and press SAVE
7. Finally go to Settings, choose FIRMWARE UPDATE, press CHECK FOR NEW FIRMWARE and upgrade device.
Note: now you can delete on computer remembered Wi-Fi networks `shellydw2-<last-6-characters-from-mac-address>` and `shellydw2-<all-12-characters-from-mac-address>`
