Intel AMT 9.x supports KVM redirection at resolution up to 2560x1600. Intel® Xeon® Processor E3-1246 v3 (8M Cache, 3.50 GHz) Specifications procesor integrated graphics supports up to 3840x2160@60Hz on HDMI and DP ports.
So if you set server resolution above max Intel AMT supported resolution KVM will not work properly.
Red Yellow frame and connection icon are elements of Intel AMT privacy indicators and are generated and displayed locally only by Intel procesor integrated graphics, regardless of current/AMT supported resolution, so they are not redirected over KVM.
There is BIOS component related to Intel AMT KVM redirection feature -so if this fails KVM will fail.
Check if there is newer BIOS update from the board OEM ?
ME 9.0.1.1333 is pretty old ME FW version (it is actually first update after production version) - and in general is replaced by ME FW 9.1.x versions.
Note ME 9.5.x is for SoC designs (Tablets/2in1) and is not applicable to your platform.
The latest one available for OEMs is ME FW 9.1.37.1002 altough it may not be validated by your board OEM - check if there is ME FW update published on the OEM web?