I think it depends on your cell phone whether it can succesfully fetch the WiFi password for your WiFi from it.
On some cell phones it can automagically connect to your WiFi without ever having it connected to your network via wire. For that it connects to an SSID broadcasted by the speaker and sends it the password for your SSID.
If that fails it seems to fall back to the method you described where you have to connect the speaker over wire temporarily. However there again, it depends on the cell phone whether it can fetch the WiFi password or not. For good reason recent cell phones don't allow that these days. So when that fails another wizard again should take over allowing you to enter the PSK of your SSID. Some screenshots of the steps in it below.
If that wizard failed to start, perhaps you can start it manually using the first item in the advanced settings menu (while it's still connected via wire of course):