Lossless not lossless or just applied scaling that I do not want?

That is due to chroma subsampling, which is common in YUV color spaces. I have explained that in much detail here before, which you can search for. You can avoid that by switching to a RGB color space but many players will not handle it. If you ultimately will share the video using a web service like YouTube it will do that too, and you will have no control over it.

UPDATE: You can make the lossless/H.264 preset export in RGB by choosing it and then Export > Advanced > Codec > Codec = libx264rgb.