Hey Allan... GREAT that you found the problem! Your scope picture does look like a PWM signal with AC ripple on it, although since the supply for the fan is unregulated, that could be where the ripple is coming from... just glad you found the problem.
Yes, the overshoot does change depending on the load. I do see overshoot at even low loads (although I don't remember what the loads were and what the overshoot was.. will have to try it again).
I have (I think) the same "version" that you have as far as pass xsistors used and the assembly of the heat sink. Don't know if they are real or fake though.
I was charging a 24V battery once, and drawing max current from the supply, and it did shut down due to over temp on the heatsink (or thermostat in the xfrmr... really don't know which tripped), but after a while of cool down (about 10 minutes), it powered back up ok.
It was running pretty hot and the thermal overtemp seemed to do it's job.
The heatsink is a little small if you are going to push it, and I may mod it with a larger heatsink (maybe even a larger fan), but for now it is working great for a cheapie!
I know alot of people whine about how cheap it is, and all it's problems, but like I have said, it ain't an HP/Agilent/Lambda/Fluke/etc., and I know that.
One thing on my supply... the FWB was NOT bolted to the heatsink and they relied on the stiff leads of the bridge! It was NOT laying flat on the heatsink (the lead side was not touching the aluminum), so I desoldered the leads, bolted the bridge on the sink, and resoldered. How cheap was that!
I would suggest that you check the mounting of the bridge to make sure that at least it is making good mechanical contact to the heatsink, and maybe even bolt it down... it probably runs pretty hot when under high load and will not last too long.
Here are some pics of the bridge (notice the slight space on the lead side), the xsistors and bridge (notice how the goop doesn't look like it was making contact on the bridge), and the contact area on the heatsink (only partial contact on the bridge).