Good (bad) news
I called Gateway Support and told them of my problem. With a little sweet talking I managed to convince the support lady to send me a new monitor.
First thing I noticed was that the "NO SIGNAL" graphic looked different (it now has 3 R/G/B squares). I plugged in DVI and boom, worked immediately (didn't work at all before).
I also noticed that the OSD version was 1.11 instead of 1.0 on the old-and-busted monitor.
Call gateway support and get the fixed version.