I have studied the problem in more detail and, after careful consideration, I think Parallels should fix it though. Because it seems to be a bug (or something not implemented yet) in Parallels. Let me explain:
1. Dell UP2715K is a "wide gamut" monitor. I began to believe it may not be its fault when I noticed that the above two screenshots are almost identical (with a slight difference only in red color for the close button) when displayed on Dell P2415Q or on the MBPr - however, the same two images displayed on the UP2715K show *huge* differences i.e. in the first image the "close button" red is a very bright red, while the "space left" blue is more towards cyan (I suspect these huge differences can only be viewed on Dell UP2715K!). The second image looks like on P2415Q and MBPr. So, my conclusion is that the first image contains some color information which UP2715K reproduces in one way and the other two reproduce differently.
2. In OS X, colors are as expected (the monitor is set to the "CAL1" color profile, since the other profiles do not look right). The monitor was properly recognized and the color profile is automatically selected as "Dell UP2715K". Color translation I guess does the job of keeping everything in control.
3. In Windows VMs, colors are awfully oversaturated. I suspect Parallels does some under-the-hood color profile translation based on something, and in this case that translation is probably missing because of an "unknown" monitor. As a result, color translation goes crazy or does not happen at all. This is where Parallels should step in and fill the hole by using the same color profile / color translation table as OS X for UP2715K.
4. As a last piece of information, I usually do backups with Clonezilla. That's a Linux-based environment, booted from USB. So, when booted on UP2715K, the red color that's used is the same bright red. I suspect that the Clonzezill environment is also missing a color profile for UP2715K (or does us a generic color profile for everything, and UP2715K does not behave as standard monitors do i.e. a "generic" color profile does not serve it well). This detail is only thrown in to demonstrate that in the case of UP2715K, a correct color profile is mandatory.
Last edited: Mar 29, 2016