To be perfectly clear, it took one (1) grand prix worth of play time on my monitor to make this happen. I've had my Acer Predator monitor for years with no burn-in from anything, and ~10 minutes with F-Zero caused this. Anyone else, or am I just unlucky?
No - this is image retention, not burn in. Can happen with flashing objects such as the map in F Zero Advance if you emulate it on a display without adaptive blur.
It will fade in time.