I recommend getting it changed. Mine I can hear, but only when GPU fans are low. Once they spin up to around 50% or there abouts then can't hear it. No chance I would hear it with headphones on. Oh and my hearing is quite good.
Been there, done that!
I am sat here with 2 of these monitors at the moment as I am not sure what to do next. Dell actually haven't asked for the 1st one to be returned yet, though having 2 doesn't really benefit me (I won't sell it on as they could ask for it back, and I can't use more than one at a time).
My original one is fine on fan noise and I've never heard it doing the sighing thing, but it has a dead pixel near the centre of the screen.
My newer one has no dead pixels but it's got the annoyingly loud fan.
The fan noise is like in this video (not mine despite the initials on it being HH), turn your volume way up to hear it, but in real life it's very noticeable above the background noise of my PC next to it, and unless I have headphones on with something loud playing, I will hear it over headphones and moderate volume stuff.