I believe the SA124B uses a digital correction for its OCXO frequency (it is not a voltage-controlled OCXO like the SM200). For zero frequency error, put both the SA124B and the VSG on a common external 10 MHz reference.
If you selected an external reference on the VSG, and generated a 1 GHz signal, I would expect the signal to be off by more than 10 kHz if the external reference was not found.