But what is the attenuation doing? Is it also altering input impedance or just a gain or display scale beyond the input seen by the probe? The manual gives no clue so I presume it well know to those with greater experience of scope measurements.
Usually oscilloscope attenuator alters just that, attenuation, without changing active gain or display scale. The input impedance needs to remain constant or the probe compensation will be affected by oscilloscope attenuation changes.
It is difficult to alter active gain without changing transient response and bandwidth. Old analog oscilloscopes which do this at their highest sensitivities usually lower their bandwidth either a little or a lot and require separate calibration.
DSOs and especially cheap DSOs may sacrifice ADC resolution to implement some vertical scale factors. It annoys me when they lie about this in their specifications. If you are throwing out bits and dynamic range at some attenuation settings, then your oscilloscope does not have the same resolution at all vertical input scale factors. USB oscilloscopes are especially bad about this.
The old Tektronix 2440 DSO does this to get scale factors of 200 uV/div, 500 uV/div, and 1 mV/div from 2 mV/div but forces averaging mode so at least it is apparent when it happens and the documentation provides details.