I've never had any issues like this, but I wanted to specifically test the scenario you describe. Starting with an init patch, changing oscillator one to sine, and playing a chord - no audible distortion, and checking with an oscilloscope shows a nice smooth wave. That's with the master volume all the way up.
It's always possible there's something up with your Prophet X, but I'd check the rest of the signal path as you had planned first. The synth does put out a relatively hot signal, so it could well clip an input with too much gain dialed in. Once you've eliminated other possibilities, don't hesitate to reach out to Sequential support. They're always eager and willing to help.