I'm having this same issue. Out of package brand new monitor--I turn it on and it cycles through those same colors. I bought it from Amazon.
None of the new Dell monitors ship with Burn-in enabled. That is only used by our manufacturer at the factory and Service Centers. So someone had to have entered the Factory Service Menu and enabled that option? The P2415Q started shipping in 2015. Are you sure that the box was never opened? To be clear, the P2415Q is connected to the computer and both the computer and P2415Q are on and you are seeing the Burn-in mode?
* Turn the P2415Q off* Press and hold the top two buttons (Preset Modes,Input Source) and then press the Power button to turn the P2415Q on* Press the top button (Preset Modes). The Factory Service Menu appears* Scroll down to Burn-in and set it Off** Do NOT change anything else!! Any other change could break the monitor and would not be covered by Dell* Then go to EXIT
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I ordered it from Amazon--it doesn't look like the box was ever opened.
Connected the the computer AND not connected the same thing is happening.
What you suggested didn't work.
You can either contact Amazon for a replacement, or go through Dell.