Thanks again for the recommendations and information.
I'll keep this in mind as my requirements change and whether the Tek I ordered does not meet them.
Before you go wild however, is it a hum or a buzz that you hear? It is possible that the rectifier diodes are acting like step recovery diodes and producing high frequency impulse noise during reverse recovery which will blow through or around almost any filter. To test this, try adding like a 1000 picofarad high voltage capacitor directly across each diode. This is a common solution to this problem but sometimes ferrite beads in series or special diodes which do not suffer from this problem are used instead.
On that note, since I am new to scopes, which options should be used in order to measure below 500mV (and potentially even lower if the regulator works as claimed)
AC coupling with a x10 probe will give you a frequency response below 60 Hz and at least a sensitivity of 20mV/div. If you need better than that, then a x1 probe can be used to get 2mV/div but the low frequency cutoff will move up.
WARNING: AC coupled mode on an oscilloscope will only support about 400 volts DC unless a special probe is used. If you want to measure ripple on a DC supply above 400 volts, then other methods must be used.
With the CLC filtering, it am pretty certain it was a hum. I also measured more than 1mV AC at the output transformer when idle and generally that is audible with high sensitivity speakers/headphone.
After I switched to the HV regulator, the noise changed. There was less hum but more of an unspecified noise.
I couldn't know if the regulator circuit is faulty or not, and that is actually what triggered my pursuit for a scope. The designer of that circuit was not certain if the reg is "browning out" and we wanted to confirm the input voltage was above the required drop-out voltage through the entire cycle.
I have since tidied up the wiring and also found that the power transformer was causing most the noise. Moving its position relative to the circuit and output transformers made the amp pretty silent.
I still want to measure the power supply... for learning purposes.
The rectifier for positive HV is actually a vacuum tube so can't try that solution. The negative bias uses SS diodes but I dont think the issue is there.
I do still have questions regarding the operation of the scope, but I think I'll start a new thread in `Beginners` specific to that.