Oh, are you using a probe in the system between the AWG and the scope ?
Quite suitable for HiZ measurements but not to terminate into on a 50 Ohm system.
At low frequency and sinewaves you'll get away with it however introducing a probe always affects the measurement fidelity in some way.
Study the last screenshot I posted.
More for you.
1 MHz 1Vp-p from SDG6022X, no different result to what I expect from the cheap SDG1032X.
50 Ohm output via BNC cable into the first termination grabbed, placed onto the scope.
Then remove termination but retain all previous settings
Then change source to HiZ which becomes 2Vp-p displayed on the AWG.
Note waveforms are the same amplitude.
Retain HiZ AWG output and reduce to 1Vp-p