Without any filter after the output of the DAC, I would have expected to see a series of steps, a "staircase" output from the DAC.
I am confused that you are seeing a sinewave on the output of your DAC.
I also see that you have the scope set to "averaging", what do you see when averaging is turned off?
I have this feeling that the output of your DAC is not a staircase as I would expect.
As ronsimpson said, you need a lowpass filter after the DAC to remove the staircase effect, which in the frequency domain will be seen as harmonics.
Remove the harmonics and you smooth out the staircase.
JimB