Did you give permission to link the product to your Amazon account?
So you've bought your LIFX through Amazon.com and you are checking out. If you want your Alexa device to do all the set-up work for you when it arrives, you'll need to tick the checkbox "Link to my Amazon account to simplify setup”.
This allows the linking process to begin before you even get your product. If you are buying a light for someone else as a gift, you wouldn't want it to be attached to your account and ready to add to your network. So to avoid this, you get the option to approve the linking process right when you're buying it.