That's normal. It is generally referred to as comb filtering and is the result of interference between the direct signal and the various reflected signals from surfaces in the room. At frequencies where the time taken for a reflected signal to arrive corresponds to half a cycle a cancellation occurs, creating a sharp dip whose depth depends on how close the level of the reflected signal is to the level of the direct signal. If they match the cancellation results in no signal, but reflections are usually smaller than the direct signal. If you apply some smoothing you will see the underlying trend - smoothing is in the "Graph" menu and there are keyboard shortcuts for the various levels of smoothing.
Long sweeps aren't recommended when the input and output are not on the same device. Use 256k sweeps, it will be much quicker and the measurements are just as suitable for nearly all purposes.
