The 8595E uses two bands to cover its input freqeuncy range. Band 0 is 9kHz to 2.9GHz and Band 1 is 2.75GHz to 6.5GHz, so there is some overlap between the two.
Your 2.9GHz test signal falls into both bands, so the analyzer will choose one band or the other for the sweep. The reason you are seeing your signal drop is because some of the sweep settings you've chosen have fallen into Band 1 (the high band) and something is clearly wrong with Band 1. You can force the analyzer to use one band or the other if you'd like to verify this behavior (under the FREQUENCY menu, "Band Lock").
Did you perform the YTF CAL, and did it complete successfully?
With the symptoms you are describing, there is likely something wrong with the high band conversion or filter. As mentioned before, a common failure is the SYTF module.
The easiest way to troubleshoot this, when you get back, is to feed the analyzer the test signals shown on the Assembly Level block diagram (5GHz to test the high band), and check the test points for the indicated signal level and frequency (also on the diagram).
The Assembly Level manual also has detailed descriptions of the RF and LO sections shown in the block diagram, which is worth reading.
I participate on HPAK too, but I find eevblog much easier to operate.