On Cold Water setting water is Hot.
This is a new install of a brand new unit.
I have confirm the hoses are attached to the correct taps.
Hot Water setting works fine.

Sounds like a defective unit, take it back and get another.

I was afaid of that as it took me several hours to install it. Where it is located I have to remove part of a cupboad unit and a Gas Dryer.

Is there anything that I could try before uninstalling it??

Disconnect hot and cold water supply, turn them on and make sure you have cold water coming from the cold side, and hot water coming from the hot side. It this checks out, and hoses were connected correctly, there is a problem with the washer. If the washer is brand new, you should be able to contact supplier, or manufacturer and have a tech come and fix the problem for free. Every washer I know of comes with a warranty. When you call, they will most likely tell you to bring it back, but you just tell them your situation,(how much work it will take to remove washer), and demand that they get someone out to your place to fix the problem. If they won't do it,, take the washer back, and demand a refund, go somewhere else and buy the same washer from someone that will stand behind it.