No one experienced expects a bench supply to be fully floating at higher frequencies. Fully floating, low capacitance isolated supplies are $EXPENSIVE$ and typically lack many of the features one expects from a bench supply.
You should have used a differential probe, or a 'poor man's differential probe' (waveform arithmetic, Y1-Y2 using identical probes, with Y2 gain and compensation trimmed with both probes on the 'hot' switching node to null out the common mode error as much as possible), or temporarily moved the center tap ground to one end of the filament or used a battery supply, with the whole circuit sat on an upturned plastic box to reduce the capacitance to ground.