This is likely ADC distorting at higher input levels. Try lowering the generator level. On my 401 the best THD is around -114dB in loopback at about -15 dBV generator level. Check out the QA480, it is there to work around this type of issues.
The SNR is a different metric. It actually increases with the level as the ratio Signal/Noise increases and noise stays the same in the ideal case. However you don’t always get SNR dBV improvement per level dBV increase unfortunately as there appears to be some amount noise floor modulation in place with these analyzers, but unlike the THD it should still be better at 0dBV than at -10dBV. Here you can see how THD worsens and SNR improves when the generator level is increased 15dBV: