I'm sure I remember Dave had a video that nicely illustrated it but I can't find it
OP: This video demonstrates how with the voltage drop from the Power Supply to the Device Under Test the actual voltage at the DUT is not what you think it is.
It also shows how using the remote sense terminals shows the actual voltage at the DUT.
If you see the same YouTube image as I do below you can see one Multimeter reads 4.691V yet the Power Supply reads 5.000V.
There's a drop of 0.309V across the wires. The Remote Sense would let the PSU set itself to have 5V at the DUT.
Dave later has to set more than 5V on his PSU to get 5V at the DUT.