Ok but 24db of difference is slightly too HUGE to me

Just updated the REW, the same 20+db mismatch to AP. I see no any settings there which I didn't try to change. The FFT itself looks normal but calculation..
Hi,
I see and thanks for the captured audio clip.
I briefly looked at that and discrepancy looks much more clear to me.
The signal has quite high level of infrasonic noise bellow 20 Hz and observed higher "skirting" of fundamental tone isn't there because of FFT windowing function in analyzer (see the previous examples with pure digital sine for a comparison), but most likely because of generator itself (oscillator modulation by low frequencies) or happened during capture with the ADC (higher LF jitter).
I've came to similar conclusion like John above.
The notch filter used for THD+N measurement in ARTA and AP analyzer (according to your readouts), is apparently wider than the one used in REW (plus Wavespectra and some of my other tools, which also gave me readouts with similar higher noise level around -90dB).
So the wider filter is more efficient with attenuation of low level skirting, which surrounds the fundamental.
Additionally that infra noise also plays role there. ARTA has 20 Hz HPF for THD+N in its default setup (screenshot).
Finally I've simulated it in a DAW with EQ and FFT analyzer with RMS readout.
12dB notch Q=1 for fundamental, readout was cca -90 dBFS
12dB notch Q=1 and 12dB/oct HPF at 20dB, gained 7 dB lower readout
24dB (stacked) notch Q=1 combined with previous HPF, result was over -118 dBFS, so it aligns with your previous results.
So thankfully no magic happened there

And it was also enlightening for me, because I previously didn't have practical examples of discrepancies between notch filter designs among different analyzers (be it software or hardware), which can apparently play significant role with analog signals.
Michal