That is the expected result. According to this simulation, the amplitude is down 20dB at 20 Hz (a factor of 10 in voltage). That agrees with the Bode plot on the web calculator, too.
I don't know how the "cutoff frequency" is defined on the web site, but the "3dB" rolloff is about 1.5 Hz.
For cleaning up a stepped sine wave at a few Hz, a 1K/1uF RC filter should be fine.