A typical bench supply had operates in constant voltage mode up until you draw more current then the maximum set on the current control knob whereupon it reduces the voltage to maintain the current at the level selected (Constant current mode).
They all have a maximum current limit set internally such that even if the valtage and current knos were all the way to the right, a short circuit will not blow anything.
Try the following:
With nothing connected to the supply, turn the volathe all the way up (Usually 30V or so), note that no current flows.
Now Turn the current knob up to say 500mA and with the voltage set at 30V, short circuit the supply, note that the voltage drops to nearly zero, the current rises to a limited value and the supply switches into constant current mode.
Replace the short circuit with a 1 ohm, 2W resistor, note that the supply is now outputting half a volt and 500mA, turn the current limit up and down (maximum 2A) and note theat the supply adjusts voltage to maintain the current at the specified level.
Bench supplies are hard to kill, sometimes this is not true of the things you connect to them....
Regards, Dan.