I believe that this problem would not have to happen, can be a problem of the resolution of the oscilloscope.
It can that depends on the load to which these applying the signal, if this is next to a short circuit for example.
You can see the specification in this pdf.
Your HP 33120 is set to 50-ohm output impedance, and your oscilloscope is set to high-impedance.
You can change the HP 33120 mode:
MENU -> SYS_MENU -> OUT_TERM -> 50_OHM or HIGH_Z
That setting doesn't actually change the output impedance. It simply changes the scale factor.