My guess is the first time you used the unit you either plugged the old router in to ethernet:
1. which is WAN and the cudy got an IP from the old router and started running its own network double NAT you, or
2. The LAN port and it just worked as you bridged from the wireless through the LAN to the old router
Now you have entered some settings so maybe reset and try plug in from a LAN port of the new router to port 2 on the cudy and see if it works. If it does not then do the proper setup as suggested above in not router mode but I believe its called mesh access point.