The advanced de-esser used in the RØDECaster Pro II (and also implemented in other products when used with UNIFY software) works on the principle of a side-chain compressor.
This works by applying compression to the signal (so reducing its level) based on the amplitude of a side-chain signal. That side-chain signal is derived from the main signal, but has frequency tuning applied that limits it to the problematic frequencies set by the user using the ‘Frequency’ control, with amplitude derived from the ‘threshold’ control.
This means the overall volume of the main signal will be moderated in the presence of loud sibilance, which reduces these unpleasant sounds. Crucially, however, it does not affect the frequency response of the output.
It is for this reason that when you compare the output of the de-esser to the input you will not see any frequency response changes or ‘notches’ in the signal. This does not mean that it is not working, however.
This is a key advantage of this type of de-esser – it does not introduce artificial or unnatural frequency response changes.
I hope that helps to explain the results you see with a signal generator, and gives you a better understanding of the RØDE de-esser!