On the 5122, both the "noise" and "anti-alias" filters are fixed analog
filters. The cutoff of the noise filter is about 20 MHz, and the
cutoff of the anti-alias filter is 35 MHz. So "anti-alias" is
something of a misnomer if you expect it to change based on your sample
rate. I'm referring to it as an anti-alias filter if you're using
the maximum sample rate of the 5122 (100 MS/s).
So if you're sampling at rates below 20 MS/s, there will be aliasing if
your signal has content at frequencies more than half of your sample
rate, no matter which filter is enabled. So the best idea is to
oversample or add an external analog filter, as you've done.