Headline explains it all. Nasty little surprise that. I thought I had something wrong in the settings.
After wasting time troubleshooting myself, I went back to Amazon who instantly tried to replace or refund it. I'm a bit of a greenie, so I really didn't want to waste all that energy without at least trying to get the one I had to work. They directed me to LG which was a pain because they wanted a receipt number, but Amazon didn't give me one. After more phone calls than should be necessary, LG agreed to give me "general support" because I couldn't prove that my monitor was legally purchased (WTF!). After a bit of more troubleshooting, taking cables off my other electronics etc, the lady realised that this monitor doesn't even have speakers!
Even though I could find a volume knob, there were no speakers. Volume knob is for headphones apparently. I though speakers were a standard function, but it's not at LG. I now have to buy new speakers that can fit into the headphone jack. completely nullifies any savings I made on the product.