Have you considered that the problem might be that you turned the output voltage down to zero prior to connecting the load and setting the current? To operate any supply in constant current mode, the output set voltage must be higher than the expected voltage across the load for a given current. Zero isn't.
Consider that a bench supply has two essentially separate control loops which will limit the output: a voltage control loop and a current control loop. The voltage control loop allows the output current to increase until the set voltage is reached, then it restricts the current. The current control loop allows current to increase until the set current is reached. Both operate simultaneously, and the first one to reach its limit is the one which regulates the output and thereby determines the mode of operation of the supply at that given instant. For CV operation, the current limit must be set higher than the load will draw at the set voltage. For CC operation, the set voltage must be higher than the voltage drop across the load at the desired current.