Make certain that the VFO or signal generator has a clean output. Harmonics can give results that will be confusing.
Ah! A great point I meant to include... If you just can't seem to get a complete null, try swapping in a 50 Ohm resistor as the test load. If the null becomes deep (meter goes to 0) then your signal source has harmonics. I discovered this by using this method. An antenna will reflect harmonics (for the most part) while a resistor will not.
I used BNC connectors on my bridge for I/O and the reference load, which is simply an old networking resistor in a BNC plug. Very convenient!