My P4 behaves in exactly same way with "follow mode" or "FPV mode" enabled (i.e. picture always shows level horizon / does not tilt in FPV mode).
I am using yesterdays v3.0.0 DJI Go App for iOS and am on most recent firmware for remote and P4. I do not know if it worked with older version, as I tried this setting for first time today (bought FPV goggles and wanted to try out).
Does anybody experience same problem?

Ha! The only differences I could see, playing with every switch back when I got it, was the tilting when banking and also the forward view when just yawing. So, maybe there is something odd on yours.

Perhaps you can check if the setting is actually taking effect by setting it, attaching another mobile device with the app and seeing if the setting remains the same?

peter@wonderlan Posted at 2016-9-30 21:06
Ha! The only differences I could see, playing with every switch back when I got it, was the tilting  ...

Thanks for your response. Indeed it works when I tried with the iPhone instead of iPad.  Strange.