So I am confused by both what is stated in Schweser and Curriculum regarding APT.

First they mention that unlike CAPM, APT does not identify specific risk factors. Are they referring to model construction (i.e. which components should be included in the model) or something else? What is the relationship with the statement - returns are generated using factor model?

Second, I am really confused with Lambda(j) reference, which located nowhere directly in the formula, unless maybe as a member of the sequence from R(f) to beta§ j, Lambda(j) but I see no logic here.

BTW, it is obvious to me that there is beta coefficient that represents sensitivity and lambda that represents some premium.

They refer to model construction. What variables should be addressed as explainer of “returns” or “excess returns”.

We are trying to model returns, so we use factors as explanatory variables. Once we find the right variables, then we can say that an asset returns are/can be generated/simulated by a factor model.

Exactly that, in that specific factor model the book uses as an example, Lambdas are risk premiums used as explanatory variables to model the return of a specific asset in particular (or a portfolio of assets).