Measuring Transformer CMRR
Common mode rejection ratio in this configuration is measured by connecting both input terminals to generator positive and DUT grounding, enclosure or whatever that is supposed to be at the zero potential to negative. Hard to give concrete advice without more info about your DUT.

In your first picture negative is connected to DUT enclosure, in later pictures, it is connected to both enclosure and transformer shield winding.

You are correct about coupling capacitance: it is the primary common mode path in transformer decoupling circuits. Your later pictures have shield winding that is meant to reduce mutual capacitance between windings and increase CMRR.