Hi,
I'm definitely no expert on these things but since I've got a M8811 I thought I'd try it at my end, this is what I've found so far.
Using a pair of ~500mm long banana to aligator clip cables, connecting a 10k resistor (yes, I know you used a 1k but I don't thing it matters much) to the M8811 and then a Rigol RP3500 1:10 probe across the resistor I can pretty much replicate your results - very large, like +/-60V, voltage spikes appears to appear across the resistor when turning the M8811 on/off using the mechanical power switch (output OFF in all cases).
Then I tried placing the 10k resistor right at the bananajacks on the M8811, used banana to BNC adapter and a BNC-BNC coax to the scope (changing the scope readout to reflect the 1:1 input ratio). At this point the voltage seen by the scope reduced by a factor of 10 or thereabouts, I never saw "more" than +/-5V - which of course still isn't good. But.....
Then, just for kicks I went back to the first setup. However this time I pressed the power switch on my M9712 Electronic load which sits on top of the M8811 - somehow the M8811 still generated some pretty severe voltage spikes - even though it was off and I didn't even touch it. I can easily get +/-40V spikes to appear across the resistor connected to M8811 by power cycling the M9712 or another instrument on the shelf.....
Attached is screenshot of the waveform picked up across the resistor connected to the M8811 whille turning off the M9712. Obviously the duration of the spikes aren't as severe as when powercycling the M8811 but the fact that they appears to be there as well as the fact that they appear to greatly reduce in amplitude when not using the long aligator clip cables and the scope probe makes me wonder if they ACTUALLY appears on the M8811 output when you power cycle the instrument or if, in reallity they are generated and picked up by some other mechanism.
Try it out, same setup as in your video but then powercycle another instrument that uses a mechanical power switch.
This makes me wonder if Rigol perhaps is doing something right with their dicky soft power switching.
Your uC board still fried though so.....
/H.