Looks like an analogue fault to me.
Change the generator frequency to 5 kHz and change the scope timebase to 100us. If the waveform shape still looks exactly the same then start by assuming a digital fault. If the waveform shape/amplitude is different, suspect a problem from the output of the DAC onwards.
Service manual with schematics:
http://ridl.cfd.rit.edu/products/manuals/Agilent/function%20generator/33250-90011_service_guide.pdfPage 203. U1904 pin 22. Waveform Ok or not? If yes, there isn't much between that point and the final output.
If no, see Page 201. The DAC (MAX555CCB) is the large square at top left. Output goes to pin 3 of the relay and thence into one or other of the two filter networks. Appropriate filter output is at pin 8 of the relay. OK or not there?
If not then a digital fault or faulty DAC/surrounding components. If yes follow the analogue path through towards U1904. Check supply voltages to all the ICs in the path and to all the clamp/protection diodes.