Mac book Pro to Dell E2414H monitor issue
Adapters can be finicky things.  I have had mixed results even with genuine Apple display adapters.  You would think something this simple would be a no-brainier; just buy, plug in and go to work.  It may be the adapter itself that is giving you problems so you will want to return it and get another.

However, as has been previously stated, you should be using the DVI port.  The VGA is analog and while not "bad" per se, you are not getting the full performance of your monitor by using VGA and you may be introducing issues like what you are experiencing because the the DP to VGA adapter has to convert digital video signals to analog.  Then, interestingly enough, the monitor has to convert the analog signal back to digital.  

Why not just go digital end-to-end?

I personally used this cable with great results  Mini Display Port to DVI.  This one is Thunderbolt compatible as well.  

Why this and not an adapter and a separate DVI cable?  I prefer having a single connection end-to-end as the more connections you make means more points-of-failure.  That cable above has worked for me on several MacBooks, an iMac27 and a Surface Pro 3 tablet.

I hope that helps.