The tilt is often caused by an external magnetic field, sometimes even the earth's magnetic field. Most scopes include a "trace rotation" adjustment to correct for this. Usually, it's a screwdriver accessible trimmer accessible on the front panel. For some older scopes, there were wingnuts on the back of the scope that would allow you to physically rotate the CRT to correct for the tilt.
The calibrator signal looks as expected. Remember, the sole purpose of the calibrator signal (which is more accurately called the "probe compensation signal") is to adjust the low-mid frequency compensation adjustment on 10x probes. It isn't really designed to drive coax directly.