Why do digital scopes sample signals at a higher frequency than required by the sampling theorem?
Nyquist-Shannon sampling theorem... often mis-used...


  If you have a signal that is perfectly band limited to a bandwidth of
  f0 then you can collect all the information there is in that
  signal by sampling it at discrete times, as long as your sample rate
  is greater than 2f0


it is very concise and contains within it two very key caveats


PERFECTLY BANDLIMITED
Greater than 2f


Point #1 is the major issue here as you cannot in practice get a signal that is perfectly bandlimited. Because we cannot achieve a perfectly bandlimited signal we must deal with the characteristics of a real bandlimited signal. Closer to the nyquist frequency will create additional phase shift. Closer will create distortion, inability to reconstruct the signal of interest. 

Rule of thumb? I would sample at 10x the maximum frequency that I am interested in. 

A very good paper on the misuse of Nyquist-Shannon http://www.wescottdesign.com/articles/Sampling/sampling.pdf

Why "At 2x" is wrong

Take this as an example:
We want to sample a sinewave with frequency f. if we blindly sample at 2f ... we could end up capturing a straight line.