Hi
I faced the same issue last week with this device (out of the box). I was able to fix this.
I tried to flash directly after booting up stock firmware, bypassing setup. It works, by I faced the wlan0 issue in Openwrt. So I switched back to stock firmware, and followed the setup plainfully. Also configure wifi. Than I flashed again Openwrt, and now wlan0 works. Make sure you setup a country and transmit power.
My guess is that the stock firmware setup and wifi configuration write wifi informations on another partition, and these informations are necessary for wifi within OpenWrt. So setting up config and wifi must be done first within stock firmware.