A Self Cal (after warm up) should return it to factory default.
Then if you retrace previous settings while taking notes if you find a/some settings that give the trouble the factory can try and reproduce it.
Let us know if it's still not right.
Damn, I found the problem. Nothing to do with HiZ/50Ohm. I had inverted polarity enabled, so when I set output to +5V, the actual output was -5V. I noticed this, but I thought that was because of wrong wiring in my bnc-to-crocodile-clip adapter. So I swapped wires to compensate polarity... But channels have common ground. As a result, both outputs became connected together by grounds in DUT and in SDG2042. So, when I set voltage too high on one channel another channel got "overvoltage protection".
It took me a while to find this problem because I checked wiring without completely disconnecting another channel from DUT. So when I checked ground connection on the first channel, the second channel provided the ground path. Huh