Thanks for your measurements!
That indeed confirms that there is some low pass filter at 30-60MHz, but that is still more than the 20MHz bandwidth given in the data sheet.
The linear interpolation might be done by multiplying the sample rate internally to be around 60MS/s and inserting interpolated samples in the gaps.
Nonetheless, i think this is false advertising, as they sell it as a 200MS/s 60MHz generator, but giving you only 30MHz arb bandwidth.
But still better than the DG5000 series, where (according to the manual) there is no adjustable sample clock generator so that you can only select integral fractions of 1GS/s.
Rigol really looks fancy from outside, but when you look deeper insight, it gets some unprofessional taste. But i guess thats the price.
I still wonder if it might fit my application.