Comparing the specs, the 33120A produces cleaner output. It's to be expected, though, as separate instruments often outperform combination ones. However, as with many tech things, the specs may not matter under real-world conditions. It depends what you're using it for. Some might say if you don't know that you need better spectral purity, lower total harmonic distortion, etc., then you probably don't.
Also, depending on your needs, having a separate function generator gives you an independent control panel for directly adjusting the signal while the scope is busy doing other things, which may be a valuable convenience.
Of course, if you can have both, that's even better. You can use the output of one to modulate the other or mix the signals.

As for which scope to get, again, it depends what fits your use cases and budget best.