Your receiver has very wide, excessive bandwidth. The amount of noise power reaching the demodulator is a function of receiver bandwidth. With a narrow band transmitted signal, the noise power dominates the demodulated signal. As your transmitted signal becomes wider in bandwidth, it occupies more of the demodulated bandwidth so the signal to noise ratio is improved.
It may be helpful to think about this in the frequency domain and dividing the received bandwidth spectrum into FFT buckets. Each bucket can be described as having a signal to noise ratio. In those buckets with no signal, the SNR is 0. In the other buckets where there is a signal, the SNR is >0. If we now average the SNR of all of the buckets, we have the SNR of the entire received bandwidth. This analogy shows that for a given receiver and received bandwidth, the more buckets that contain the signal, the better the SNR as viewed over the entire received bandwidth.
It is worth noting that your two examples transition between narrow band FM and wide band FM. When the DFSK modulation index, h, is >=1 the signal transitions from having two sidebands to a larger, potentially infinite, number of sidebands. It is also worth noting that the actual bandwidth of your DFSK signal will depend heavily on the keying shape or algorithm of your signal generator. An FM transmitter keyed directly with high dV/dt modulating signals will have a wide transmitted spectrum.
The so called Carson rule states that 98% of the signal power of an FM transmitter is contained within a bandwidth equal two times the sum of the deviation frequency and the modulation frequency, This is considered the minimum bandwidth to prevent excess distortion:
$$ BW_{98\%} = 2 \times \left( \Delta F + FM \right) $$
If you would like to see an improvement in received signal sensitivity, use the minimum necessary transmit bandwidth and narrow your receiver IF bandwidth accordingly. This will minimize the noise power entering your demodulator and thus raise the SNR (Signal to Noise Ratio) of the receiver.
As an example, going from a 100 kHz receive bandwidth to a 15 kHz bandwidth will improve the SNR by over 8 dB.
$$ 10 \times log \left( \frac{BW_A}{BW_B} \right) = \Delta SNR $$