What you're doing is setting a capacitor on the probe, so that it complements the capacitance of the scope. (The probe is a resistor divider at low frequencies, and a capacitor divider at high frequencies.)
As you switch ranges on the scope, switches or relays connect different dividers between the probe and the input amp / ADC. These dividers are themselves like probes: resistor and capacitor dividers.
When you probe a probe (so to speak), you only get the right response when all the resistor and capacitor dividers match up. If the dividers aren't perfectly matched, then the capacitance of the scope can vary with setting, which means the probe compensation needs to vary as well.
At a glance, I don't see any specifications on that thing even mentioning capacitance, so, I'm betting on poor design.
Tim