Do only find very small attenuation of signals outside specified frequency range of built in bandpass filter

Setup:
PicoScope 4824
AWG generate sine signal, connected direct to Channel A
Math channel: BandPass(A;39000;41000)
Sample rate= 80MS/s, gives min. cut off frequency of: 1,25kHz
Amplitude of math channel at different frequency:
20kHz= 792mV
30kHz= 757mV
40kHz= 711mV
60kHz= 594mV
80kHz= 459mV
Questions:
1) Why does the bandpass filter only have very small impact?
2) What is the maximum Q-factor for bandpass filter?
Best regards
Knud Tangsgaard