that is because for 1MHz RBW, the power level is for the whole 1MHz bandwidth signal power. When RBW is less than 1MHz, for example, 500kHz, the power level is for the 500kHz bandwidth. the whole bandwidth signal power is composed of wanted signal power plus noise power. If wanted signal power is much higher than the noise power, the change of the bandwidth will not affect signal power level too much. However, if wanted signal is not relatively very higher than the noise power, the change of the bandwidth will affect wanted signal power very much.