That's because the step in between is not an ADC sample, it's interpolated. See the 2nd screen shot that shows the ADC samples as dots.
Since you are running in 10 bit mode, all your steps are interpolated 
However, I did the exercise in a previous post and also found that the scope actually has 11 bits in 10 bits mode when running 500uV/div giving a max native resolution of 33uV and 4uV interpolated.
https://www.eevblog.com/forum/testgear/siglent-sds2000x-plus-coming/msg3180170/#msg3180170
See the reply above. I was referring to the steps that were introduced by the display processor and not a direct ADC sample measurement which the dots show. What's interesting, as mentioned above, is the 4.2uv steps apparently are not in sequence (in sequence 4.2uv steps are not ADC samples but interpolated for display in between 8.33uv steps which are actual ADC samples).
Either way, nice performance for a scope in this class and something I did not expect 
Best,
In 10bit mode full range is 1024 and 8bit mode 256. Now of course in 10bit mode result is produced from 8bit resolution raw ADC samples. It is not just for display, it also produce 10bit data to memory (using two bytes, one 8bit data and one 2 bit data and rest bits nonsense foe one data point.)
Display have 8 div vertically. 480pixel afaik. (main window alone without vertical split for zoom)
When scope is in 8bit mode this 8 vertical div equals 240 from 256 ADC full scale.
Not nice to explain with poor finglish language.
In 10bit mode it produce computed "
artificalADC" vertical values, just like if there is 10bit ADC but somehow reduced performance of course. These "aADC samples" are displayed. But, this aADC can not produce 500ps interval data. So there must be some level repeated fulfill dots. In your image there is lot of dots outside of vertical area in this time slice in image so bit difficult to say why there is not just 4.17uV step visible in sequence what in theory must be possible.
In 10bit mode things can multiply 4 so that now 8 vertical div in display equals 4*240 "aADC" steps so 960 steps.
Now you show display where was used 500uV/div. So, full display 8 div voltage range is 4000uV. With 10bit mode one "aADC" step equals 4000/960= 4.17uV (4.1666...)
if they are not sequential in your image it is due to your captured signal and "random". Do it enough and you must see also other kind of cases. it must be. But remember! In your displayed image there was 2GSa/s! It can not produce 10bit resolution 2GSa/s stream, so that computed "aADC" level changes true interval is 500ps!!
In every place it is told 10bit mode max BW is 100 MHz. Naturally you can not find sequential 500ps interval samples what sequentially step using 4.17uV steps. So, this fact need also remember when analyze display dots or what ever there. Yes it produce 500ps interval dots but computed vertical 10bit resolution steps can not follow 500ps interval exept if you see some display interpolation generated fulfill dots.
But if you drive in wideband real random enough wide band noise and take out this 10bit resolution data, I believe, you can easy see this 10bit resolution and if setting is 500uV/div you see nice distribution where exists all resolution steps where step is around 4.17uV.
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