Hello,
thank you for your interest in the plugin in the first place.
Let me explain a bit more – this is a payment gateway plugin, it enables your customers to pay by cash. Despite its name, particularly the “on pickup” part, it has nothing to do with shipping method customer has to chose during the checkout process.
There is WooCommerce built-in shipping method “Local pickup” which serves this purpose, which can be configured to have no shipping cost.
It is logical to have “Local pickup” shipping method and “Cash on pickup” payment gateway separated, because there are valid combinations with other shipping methods and payment gateways involved, like paying by direct bank transfer and picking the package locally in the store, or paying by cash in the store but shipping the package to another address (imagine the gift for someone else, for example).
Therefore it is completely OK to ask the customer to specify the shipping method first (built-in “Local pickup” with zero shipping cost, for example), and then to choose the payment type they prefer.