I am trying to set up a first generation iPad Pro that has been reset to factory settings and it just keeps supposedly downloading software update. This has been going on for two days. Is this normal?

Are you experiencing difficulties with App updates, or update of iPadOS - your system software? Either way, something may have stalled with the update process.

Begin with a forced restart of your iPad - as this will often clear an isolated issue:

• On an iPad with a Home button: Press and hold the top button and the Home button at the same time. When the Apple logo appears, release both buttons.
• On other iPad models: Press and quickly release the volume up button, press and quickly release the volume down button, then press and hold the top button. When the Apple logo appears, release the button.

If your Apps are failing to install after resetting to factory settings, or restoring your iPad, try a long-touch (i.e., touch and hold) on any App that appears to be stuck; next select Prioritise Download. With luck, this should kick-start and complete the App installation process.