How can I store the measurement data in the storage device (i.e. built-in HDD) via SCPI command?

You can use :MMEMory command to store the trace or memory data of the display.

If you get the error message "file name error" when running the code, please try either on the following.

1. :MMEMory:PN1:TRACe1:STORe:DATA \"f:\\data.csv\"
   or
2. :MMEMory:PN1:TRACe1:STORe:DATA ""f:\data.csv""

The backslash "\" might be used as a control character and by using 2 backslashes will cancel the effect of the control character and will be treated as a single backslash.
There is some dependability on control software (programming language).