It depends on frequency. If cable length is small compared to the wavelength, there is no problem because transmission line effects are not relevant.
At higher frequencies/with longer cables, where transmission line effects are relevant, you should use a proper termination at the scope input. There are BNC adapters which have a built-in 50 ohm parallel resistance.
You can also create a reasonable termination by using a BNC T-junction with a 50 ohm BNC resistor (as it was used in old 10MBit coax networks for the end termination). This is not good at GHz frequencies, but should work fine to 100MHz or so.
Just one more thing: do not forget that when the generator is terminated on 50 ohm the voltage on the load will be, of course, one half with respect to a termniation on 1 Mohm. Much probably the output indicator on you generator is referred to a 50 ohm load; if it is so setting f.i. 1Vpp output on the generator, you will see, on a 1 Mohm terminated oscilloscope, 2Vpp.