Just wanted to say that I got a replacement router today and everything is working fine! So maybe it was just this one that came out wrong from the factory?
Thank you for taking your time investigating this! Really appreciate it! I will follow your advice about flashing it back to stock and make an complaint at the store.
It's a reputable chain store here in Sweden that I think never would tamper with their products in that way. All the documentation seems legitimate like EU declaration of conformity, quick start guide with region languages including Swedish.