How can I bypass the "first setup"?

Yes there is, after the phone is opened and SetupWizard is on, starting with top-left corner of the screen, all corners must be tapped once, in a clockwise direction. (Top left, top right, bottom right, bottom left to be more specific)

It can be hard to do it properly at first try so if it doesn't work, just try again.

Here's a walkthrough video.