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If all four channels are really connected to the same signal in the pictures you show, then there is indeed some skew between pairs of channels.

Try swapping probes to see if the lag goes with the probe or the channel.

Also try on the 1x setting.  That should have less parasitic low pass filtering.  Make sure the compensation of each probe is adjusted correctly.  The compensation adjustment can have an effect on delay.

It looks like pairs of channels have the same lag.  Is this the kind of scope that has plugin modules?  If so, is the exact same model plugin installed for all channels?

Check the datasheet to see what the worst case skew can be when using the stock probes at 1x and 10x.