One thing I would be trying is taking only two 1k Ohm 1/4W or 1/2W resistors in series and trying the sweep again.
Confirm that the voltages are correct from 100kHz up to 5MHz. (Back to basics to confirm the scope, probes and resistors.)
Don't use any hardware, just solder the two resistors together (with minimal lead in between), and apply the FG and scope probes directly.
If this is all good, try with two 100 Ohm, then 10 Ohm, then 1 Ohm resistors (all non-inductive). If these are all good, then you have confirmed your equipment, and it is the resistors and/or hardware connections you are using in your tests that are in question.
One more important thing, make sure in each case the two resistors used are of the same type, i.e. the same part number. They don't have to have the exact same value (5% is sufficient), but their type needs to be identical.
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