Hi there
Do you have a schematic for this rigol supply ? If so post it then we can see what the cause maybe.
This is a fairly common bug you'l find in many cheaper bench supplies (even a few expensive ones, but this doesnt necessarily mean this is definitely the cause with this rigol supply there is prob an offset adj for it schematic = verify).
Usually when it's present on bench supplies I know it's caused by Aux bias current flowing backward through the load.
Below I have posted a standard simplified bench supply setup. See that aux/ref bias current (usually a few mA) flows through R1 then through the Vset pot then around the main loop returning via the pass transitor to aux gnd. BUT if the pass transistor is turned off then Aux Bias currents only path is reversed through Rload to AUX gnd.
As you see this reverse current(reverse Voltage will be limited to -.7 V by the reverse protection diode across output) is only going to be a few mA and is only seen when the pass transistor is disabled or the current limit is set lower than the bias leakage current.(Try it on few different bench supplies, set current limit to 0 and you may find a few mA at upto -.7 V reverse voltage going through your load, its usually does not cause a prob in most cases).
More expensive and better designed supplies somtimes avoid this problem by say simply using an extra opamp to sense V out hence no large bias current from Vref is injected directly into main loop.
Even when the above is done though Any other source of aux bias current entering the main supply loop will cause the above and there can be other much smaller bias current sources (< 1 mA) that can cause a tiny reverse current to flow when output pass disabled.
Regards