Why does the voltage output of a signal generator changes with its frequency setting?
There are probably two things going on here.


Overloading the output.
A decoupling capacitor is having an effect at lower frequencies.


Overload

At 20 V\$_{P-P}\$ and 5 Ω resistance the current drawn from the signal generator would be \$\frac {20}{5} = 4~A\$. It seems unlikely that your generator is rated for that so some current limiting is likely to occur along with some distortion of the output.

Decoupling







simulate this circuit &ndash; Schematic created using CircuitLab

Figure 1. AC coupled signal generator.

The signal generator output may be decoupled by a capacitor - designed to remove any DC bias from the output leaving only the AC component. 

Capacitor impedance is given by \$ Z = \frac {1}{2 \pi fC}\$. 

If you try putting a 1 kΩ resistor across the output and measure the voltage across it at several kHz and then again at a low frequency you should be able to work out the impedance of the output and, from that, the actual capacitor value using the formula above.