I have now also tried it with the internal AWG of our 2000X HD, without any problems.
Once with your settings, i.e. 10pts per decade, once with 50.
The finer you resolve the amplitude, the more "terrible" the transmission looks, but if the plot is between +/- 0.5dB, I think it's good.
If you take a resolution of 6dB, you will of course have a dash.
Well, what does that tell us now?
That it works as you had previously thought, even without several windings through the core.
So something must have gone wrong with your attempt, check again.
Oh well:
And the course of the transmission as shown in the data sheet of the CP1003B can safely be regarded as an idealized plot, it will not be the truth.
Martin