There is no problem here. If the FG output is grounded and you connect it to the scope you will end up with a ground loop, but it is probably not a problem and definitely not a safety issue.
In most cases you run into in a lab, ground loop potentials are at maximum a few mV and 10 mA. This is not enough to cause any safety issues. In some cases this can cause measurement errors, but for low precision measurements (like most measurement done with a scope) you can just ignore it.
For completeness, I should add that ground loops can become more serious when talking about long distance connections, and damage equipment or cause safety hazards. This is something you run into with e.g., ethernet cables going between buildings with separate electrical systems. For use within a lab you don't have to worry.