I can't source as low noise signal as expected from the B2961A/B2962A with the Low Noise Filter.

The connection between the output terminals of B2961A/B2962A and the Low Noise Filter (LNF) is tight so that the LNF should be pushed into the output terminals strongly. Besides, it is required to enable the LNF on the GUI of the instrument.

Please see the following material for the details.
How to attach and enable the LNF on B2961A/B2962A