It is normal that "Bootloader" is displayed at the beginning of the BitBox02 setup process... A BitBox02 is always delivered without firmware. The firmware is installed during setup to ensure that you are using the latest firmware from the get go.
The BitBoxApp must recognize the BitBox02 and will ask you to install the firmware. If the BitBoxApp does not recognize the BitBox02, please take a look at this entry: https://shiftcrypto.support/help/en-us/9-troubleshooting/15-usb-connection-issues-my-bitbox02-is-not-detected
If there are any issues while installing the firmware, unplug the BitBox02, close the BitBoxApp completely, then open it again and plug the BitBox02 back in, and give the initialization another go again.