Harmonic content:
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Running the oscillator or function generator with the output unloaded probably would not cause any problems like increasing the harmonic content of the signal.
However, overloading the input to the spectrum analyser will certainly make the harmonic content look far worse.
Happily there is a very easy way to tell if the analyser input is being overloaded, reduce the input to the analyser by 10db, the fundamental and all the harmonics should reduce by 10db.
If the analyser is overloaded, the fundamental will reduce by 10db and the harmonics will reduce by a lot more than 10db.
JimB