Install a ceiling light - confused on the ceiling wires color
What you have there is metal conduit.  You can tell because it's modern construction but no ground wires.  The metal pipe is the conduit.
It's common with conduit for other, unrelated wires to &quot;pass through&quot; your box.  There's nothing you can do about that except understand not every wire up there is related to your project.
Deciphering the wire colors
The problem is, in North American wiring, color codes are a bizarre mess - however in conduit work, the color codes clean up a little bit.

Safety ground is Green, yellow-green, bare or metal conduit
Neutral (the normal current return path) is white or gray
Hot is every other color, with no standards for always-hot vs switched-hot vs travelers etc.
And that is the end of the color coding.

But we have 1 of the 2 wires that we need: Neutral.  In conduit, white is definitely neutral, so you know you add the lamp's white wire to the existing bundle of whites.
The other wire is a mystery.  I suspect the red wires are simply passing through, and have nothing to do with this lamp.  Let's disregard those.
That leaves orange and blue... either of which could be your active lamp &quot;switched-hot&quot;.   Honestly, given that we're hooking up a lamp like this and we know neutral, you can't do too much damage just trying one. That's what I'd do.
Have the circuit breaker switched off anytime you are modifying wires - don't do this &quot;hot&quot;.
What to do with those ground wires
The deal with 2 ground wires is they go to different parts of the lamp.  They both need grounding, but one should go to the metal chassis of the lamp, yes?  Which can get grounding via the mounting screws.
(by the way, switches can also do this, but receptacles can't unless they are labeled &quot;self-grounding&quot; or certain other conditions are met.)
So if one of the ground wires  goes to the metal lamp chassis, attach the 2 grounds to each other and you're done.
&quot;But I'd like to wire it up out of an abundance of caution&quot;... let's pause to be clear about this. You can make redundant routes with safety ground, all you like.  Please do.  But DON'T do it with neutrals! Neutral is not ground, and it follows different rules.
Anyway, if you have a plastic/wood lamp body, or you want redundancy, yes - you can attach it to the metal box.  There will be a hole tapped #10-32 in the back of the metal box.  Possibly with a screw already in it, possibly a green screw. You can put 1 wire on that screw.
&quot;But I have 2 wires&quot; -&gt; pigtail.  Or use a ground clip or drill/tap a second ground screw.   Ground screws must have thread pitch -32 or finer.  (32 threads per inch or finer, or 0.8mm or finer).
You cannot put a ground wire under a mounting screw, and you cannot use a sheet metal screw to add a ground wire (unless the sheet metal screw is ultra-fine thread #x-32 or finer).
Update based on your 12/9 info
Do not connect multiple hot wires together unless you like fire. What we've had you do so far is testing based on educated guesses. That is not the same as &quot;blindly trying random stuff&quot;, that would be very wrong-headed.  Never blind experiment with electrical.  Some things go boom, and lots of things will create a situation where the device apparently works, and then kills you.
Your testing provided good data.
As expected, the red wires are &quot;just passing through&quot; and are providing always-hot to some other location.  Tapping these is pointless unless you want the light burning 24x7.
It's clear the orange wire is the correct wire, since it makes the dimmer power up.  The fact that the lamp won't light is a completely separate problem related to incompatibility between the light and the old dimmer.  Not every LED works on every dimmer (most do not, actually).
The blue wire was clearly never used.  Don't mess with it.
12/10 comments

4th attempt: Similar to 1st attempt (using orange wire as hot), this time used a GE LED BR30 10W bulb, when push the dimmer switch, the indicator is flashing green light, the bulb is lighting but very very dark. The switch CAN'T make it lighter, or I should say &quot;not really controllable&quot;. (I thought the switch might be broken)

And this is no surprise.  Dimming is not magic.  It's complicated and very, very ugly because it's chained to a throwback technology from the 60s that was designed to make dimmers cheap.  If you got into the gory details, you'd go &quot;Wowza, no wonder it's so hard to get LEDs and dimmers to work with each other!&quot;
They actually have to add extra features to LEDs to make them dimmable.  Those features add a few bucks to the price of the LED, so if you shop on price, you won't get that feature by luck.

5th attempt: used a GE 52W incandescent bulb, everything worked out as expected! The dimmer wall switch is fine actually.

Congratulations, you've validated the dimmer as functional.  It's been incompatible with (most) LEDs all along.
&quot;But I want LED up there!&quot; -&gt; I agree.  However you'll have to carefully search the marketplace for an LED light and a switch/dimmer that are certified to be compatible with each other.  Most dimmer manufacturers make lists of LEDs they've tested with, and better makes of LEDs which are designed for dimming often list dimmers they've been tested with.
Note that being a better make (e.g. GE) doesn't make it designed for dimming.  Being designed for dimming makes it designed for dimming.