If and only if you have selected Single Sweep or Multiple Sweeps in step no. 3 as shown below, it is possible to measure harmonic distortion.
If the check box is checked, the harmonic distortion components of the measurement are included. If it is not checked, these components are removed from the measurement. This can be done since the harmonic components are separated from the impulse response part of the measurement.
Note: The measurement result raw data may be very long if this setting is turned on and if you are using a single sweep with a long duration. To reduce the length of the measurement, you should consider measuring using multiple sweeps if you need a long measurement duration. This will reduce the disk space required for storing the measurements and speed up the computations.