This is not a (harmonic) distortion.
This is a modulation between sample rate and the actual sine wave frequency and happens with every DAC.
The sample rate represents a non-infinite time resolution.
Constructing a certain sine-wave frequency out of equal-distant steps (the sample rate) that have no common denominator leads to this amplitude modulation effect if both frequencies narrow each other.
Imagine what e.g. a 16 kHz sine-wave at 44.1 kHz sample rate looks loke in the digital domain.
This page has a good explanation of the effect:
https://dsp.stackexchange.com/questions … -frequency
If you do a single shot on your scope you can get something like this:
I‘m not quite sure (can‘t test, don‘t have my measurement equipment at hand), but I think the reconstruction filter even has an influence on that, as the effect is related to aliasing.
Try the “Sharp” filter, it should make this go away.