Thank you everyone for the help and suggestions.
I did find a bit of time today to do a bit more testing.
I have come to the conclusion that the problem is with my new signal generator (if you can call it that) the (in)famous Feeltech FY3200S. The Vpp output specially on the sine wave seems to drop starting at 1kHz reaching 4.6Vpp (5Vpp setting) at 100kHz, but that's an issue to be dealt with in another thread.
When comparing the Zoyi and the Owon VDS1022i the differences were insignificant, also the Vrms measurements with a multimeter confirmed the voltage drop, all that made me suspect the signal generator. But the Zoyi definitely doesn't like the Owon probes, need to spend some more time investigating that.
Combine my ignorance and incompetence with three cheap untrustworthy pieces of equipment and the level of uncertainty of what's going on tends to infinity.

I wish I could justify buying "real" equipment.
Thanks for doing some tests for me and all the help and tips of using cursors instead of eyeballing and switching timebases, etc.
Sorry, for posting before doing some more thorough testing.