Flyback converter Transformer design- N87-etd29
Shortly, it's the effect of \$V_L=L\ di/dt\$. 



Here's the equivalent diagram of your setup (neglecting the real model of the inductor):






simulate this circuit &ndash; Schematic created using CircuitLab

The inductor sees a positive DC voltage for the half of the period and a negative DC voltage for the rest of the period. So, from \$i=\frac{1}{L}\int{V_L\ dt}\$, the current changes linearly. This linearly-changing current drops a linearly-changing voltage across the output impedance of the function generator (probably 50 Ohms). 

These drops show themselves as ramp-tops as you see on the scope. So, nothing to worry about. It's naturally expected.