After some fighting with a latest one from AliExpress I concluded:
Best linearity is achieved by using external supply.
If using same supply leave ground from voltage plug floating else will add a lot offset impossible to compensate with potenciometer.
The best linearity I achieved was by incrementally regulating the potenciometer and reset the module to compensate offset for potenciometer setting unloaded. I used same power supply so with 10ma I read 8ma and with 1,5A I read 1,53A. With external supply I achieved 10mA as 10mA and 5A as 5,01A.
I opted for same supply as is enough for my needs and didn't wanted to buy another transformer just to power it up as I am using two independent units in a same power supply to have independent rails. Have small switching PSU Wich I could use but they introduce EMI in the output through the amperimeter.