Finally worked out what is wrong!
As said previously by: Daedalus2000
I start the Wifi on the camera. I click on WLAN ON and then use Direct then press OK
Then I choose APP Connection and press OK
Now the camera has started a WIFi network
I go to iPhone, Settings and choose the Leica network. When it connects it tells me to start the Leica TL app
NOW, I start the APP, it finds the camera and asks me to tap to connect, I do that and then the camera asks me to accept the connection which I do and then all is working well
Of course if this is the first time