Error messages are documented in the owner's manual.

USB connection terminated.

A break in the connection with the USB flash memory device has occurred
because of an abnormal electric current. Disconnect the USB flash memory
device from the [USB TO DEVICE] terminal, and then press any of the panel
buttons

This is indicating that there is likely a short in on the USB "TO DEVICE" port. You can check this port for conductive debris or see if the port somehow looks mangled.

Given this is fresh-out-of-the-box, I would personally return it to swap for a new one. It's possible the short is further up the chain (on the PCB or board-to-board interconnect).

Sorry you are having this issue right out of the box. Please contact your retailer, immediately, to inform them of the issue and return the instrument for a new unit. The error message indicates a serious electrical issue, do not attempt to fix this yourself. This is typically covered by warranty. The MODX ships with the proper power supply for the market in which it is sold. You’ll need to return both the instrument and the power supply so a determination can be made about, what, if any, permanent damage was done to the instrument and/or the adapter. Either way contact your retailer for an exchange. Let us know.

Jason and Bad Mister, thank you for reply 🙂
Yes, in the next I will exchange the item but I am very disappointed with the condition of the product as being faulty from the manufacturer.
As you know time is very important as well as money. Everybody knows we are living the (price-age) as everything has a value. Nothing comes for free, everything has a price. For that reason I had arranged for the money and the time for the product beforehand. I just hope that I receive my next modx as described (in working order). This is my message dedicated to Yamaha. Please Yamaha/china do not mistakes in future. Thanks.

Wait & wait
I pack again MODX in box & waiting to replacement. That’s why I purchase New MODX I spend new money packet cash £949 approx. $1149 and still 10days waiting to swap MODX.
My retailer ask me:
Turnaround time is generally a week to 10 days I’m afraid. We do not have a replacement we can send from the other shop but we will do it as quickly as we can.

Major purchases are mailed to my postal center which has people there to receive the packages and store until I pick it up. My keyboard arrived during a big storm and had damage to the box (water damage). The box was in pretty bad shape and I tested the keyboard but noticed a few things and just sent it back for a new one. This story is different from yours - but the same in that I didn't get to dive right in once the keyboard arrived. Stuff happens and it's healthy to have some resilience at the beginning to ensure you start off with as perfect of an instrument as you can.

I don't disagree that quality control needs to ensure as close to 100% operation and 0% defect as possible. It's sometimes difficult to determine where things went wrong if it passed through any hands in a distribution channel (dealers, for example). But the warranty and exchange policies are setup for this - and the time spent to get it right is hopefully very small versus the "lifetime" of ownership.

Ok I understand thanks.
Now please check my new post and tell me what to do next?
Regards.