I got a brand new MSI GE62 Apache Pro yesterday, and and the same thing is happening when I exit the Firestorm viewer (the most recent version) freshly downloaded. I can't even take a screenshot of it because when I do, it comes out as the correct colors!
I tried uninstalling MSI True Colors, and it did not work. I also coudn not find f.lux on my computer.
I do have a Nvidia GeForce GTX 970M and an Intel graphics card, so I had to fix settings so that it would force using the Nvidia for Firestorm. I am wondering if when it exit it has a problem going back to the integrated card?