OK. Found some pretty interesting things.
Test with HDMI. 2 tests HDMI to HDMI to another machine - no problems. Mini Display Port connector from MSFT to HDMI and from there HDMI to the screen - no problems. However, no 4k too.
Then if I plug the Mini Display Port to the Surface Pro 4 (i5) I immediately get the problems - wifi drops. Disconnected everything and removed everything around the screen - still problems. And then...
Went to the menu and moved that setting MST (now I learned what it is) to Secondary ->
How to solve DP/Mini DP No Video/ Wrong resolution Issue with DELL P2715Q/P2415Q Flat Panel Monitor | Dell US
The Results: Wi-Fi is back. BUT, I don't get 60Hz!
Now, from I understood from the article, Intel Graphics 520 is DP1.2 Certified and so it should be supporting 60Hz 4K. Problem is, when I switch MST to Disabled and thus force 60Hz the problem reappears immediately.
Question for you guys - isn't that some type of nasty driver problem / software issue and who's fault it is. Is it Intel or is it Dell?
Quick note - I am with .4326 driver. Still don't know if I should update to the new one or wait for MSFT to release it through Update.