High THD in an Active Power Correction Circuit
Thanks for adding the scope waveforms. So, in general, the current waveform is becoming more triangular than sine at low loads.

According to the datasheet, the waveform on ZCD is quite crucial to THD control. I note that your power supply circuit (between the aux winding and the VCC pin) is quite different from what is shown in the datasheet.

They show a circuit that is AC-coupled and incorporates a series resistor to limit the current drawn by the power supply. Yours has no current limiting, and the input diode effectively clamps the positive peaks of the aux winding.

I have a feeling that these differences are the root cause of your THD problems. The next step would be to take a close look at the voltage waveforms directly on the aux winding and on the ZCD pin at various loads and compare them to the diagram shown in Figure 28 of the datasheet.