The scope probe is generally a very high impedance so will not load down whatever you look at.
Yes, frequency response is that simple,,, amplitude in vs amplitude out 20-20kHz.
For comparisons between channels of a multichannel device, I like null testing. If you subtract the modified channel from an unmodified channel, any deviation from a full null, is difference between the two channels. If the channels are very similar this may reveal parts tolerance differences, but it could reveal improved phase response, distortion, whatever...
If the channels can be sent to a bus to sum, simple invert the input tp one of the two channels.