I think I know this "feature": Once I tried to calibrate the SG04 itself - as far as I remember in current mode. The current was slowly *increasing* and then jumped back a few uA. I think the SG04 is drifting quite a lot with temperature but it has an internal compensation based on its NTC. It seems like the readout of the NTC isn't smooth, so that the temperature compensation is done in steps and leads to this "sawtooth" profile.
In my case this behaviour was still in the tolerance range. Anyhow, such a €100,- device should never be seen as a rock stable absolute reference. For precise calibrations I´d always additionally connect a trustable DMM. But for checking what happens if e.g. if a sensor runs away the SG04 is really nice.