I can only speak theoretically, I do not own this unit.
The output cap has to be discharged down to obtain the new set voltage. In common designs the bleeder resistor is across the output cap so this is done passively.
If there is no output resistor of any type then the design must switch a bleeder in, and it may appear internally as a current spike until the regulator stabilizes the output to your setting. There are many reasons for the spike to happen, such as the regulator circuit seeing too rapid a discharge of the output cap and attempts to pull it up to reach your set voltage.
So long as this current does not appear on the output, your UUT is safe, however, if this is not a bug or a design flaw, its still undesirable since the PSU's meters should always represent the status of its outputs, not what may be happening internally.