If I move the position to 0Volts, it looks normal. Why is this happening? Is it normal, or my (new) Oscilloscope has a problem?
Not normal. Try a self calibration, then test again. If that doesn't fix it, return the oscilloscope and ask for a replacement or for a refund.
To run the self calibration, unplug all the probes from the front panel of the oscilloscope, leave the oscilloscope running like that for half an our (to get to thermal equilibrium), then press Utility -> Down arrow -> Self-Cal -> Start in order to start the self calibration. Let it finish the procedure, it will take about 10-15 minutes or so, don't interact with the oscilloscope during self-calibration.
After it finishes (it will write a calibration complete message at the end), turn the oscilloscope off (from the power button), and on again. Plug the probes, and check the square wave signal again.