After the discussion with Prof.Rana, we realised the mistake in our analysis. It was also suggested to make the measurement at the output of SR560. Attachment #1 shows the schematic of the setup for the measurement of closed loop transfer function. The RF power from AFG is 0 dBm and that  from Marconi is 7 dBm.

The open loop transfer function is calculated from closed loop transfer function using the expression  , where  is the gain value set in SR560.

Attachment #2 : Closed loop and open loop transfer functions at different values of gain in SR 560 when the actuation slope in Marconi is 10 kHz/V. The unity gain frequencies are respectively 1kHz, 3 kHz and 5 kHz when the gain values are 3 dB, 7 dB and 10 dB.

Attachment #3 : Closed loop and open loop transfer function at different values of actuation slope in Marconi when the gain in SR 560 is 10 dB.The unity gain frequencies are respectively 5kHz, 16 kHz and 43 kHz when the actuation slope values are 10 kHz/V, 30 kHz/V and 100 kHz/V. It can be seen that the characteristics are significantly different for a larger value for the product of gain and actuation slope (G=10, S=100 kHz/V).

The probing signal from SR 785 was then disconnected. In this case, the oscilloscope measure the error signal in time domain and the measurement from SR 785 essentially gives the frequency noise of AFG. The measurement from SR 785 has the unit of V/rt Hz, which is then multiplied with actuation slope to get the frequency noise in Hz/rt Hz. During our measurements, the oscilloscope signal was showing a low level ( mV) DC line , confirming that the PLL is  locked.

Attachment # 4 : Frequency noise of AFG at different gain value in SR 560 when the actuation slope in Marconi is 30 kHz/V. In the full span mode, the line width (resolution) is 128 Hz where as the line width is 2 Hz in short span mode. The peak at 60 Hz visible in short span plot corresponds to AC mains. 

Attachment # 5 : Frequency noise of AFG at different  actuation slope in Marconi when the gain in SR 560 is 10 dB.  I was thinking, we should measure the same frequency noise irrespective of the setting in the PLL. It can be seen from attachment # 5 that the frequency noise measurement is affected by the value of actuation slope in Marconi. It was earlier observed that the phase noise of Marconi increases with increase in the actuation slope and , from these measurment shown in attachment #5, we are seeing increase in frequency noise value at larger values of actuation slope in Marconi.