I tried the another test.
I captured a screenshot with cmd-shift-4 when there is not Dell profile in the /Library/ColorSync/Profiles/Displays folder. And after drug and drop the screenshot file to Affinity Photo document, I confirmed that the color is R:256, G:0, B:0 with Color Picker Tool.
Then I put the Dell profile in the /Library/ColorSync/Profiles/Displays folder again from backup, and restart Affinity Photo. And drug and drop the same screenshot file to Affinity Photo document. Color Picker Tool showed R:235, G:66, B14.
So as >|< said, the color change happens when a screenshot is added to the document in Affinity with Dell profile. And whether the problem occurs or not depends on existence of the Dell profile clearly.