Wow, thank you Mr Smith for your prompt and detailed reply! I must excuse myself for not having providing a more detailed report, but sadly I lack the proper equipment here, so I turned out just tweaking an analog pot, making it difficult to quantify the issue.
Turns out that for tweaking circuits the BM235 (or BM869s) might not be ideal, because they settle slowly after tweaking with a slow ramp-up. Not a major issue, but useful to know about it when using it in analog circuits because it consequently seems to lag behind in the value on the screen when faced with slowly ramping signals.
I guess their AD converter switches in some kind of averaging when it detects little change in value, maybe to increase accuracy when doing so. I just happened to stumble across it building this power supply kit. These 10-turn potentiometers allow setting it within a few mV with a 19,5V range, but this issue will likely not be noticable with a single turn unit or a more "scratchy" unit. I guess using a digitally controlled power supply will not lead to similar problems because of the steps. I guess the capacitor measurement also takes place with a circuit that ramps slowly when applying a small capacitor.
Nonetheless I still love my little Brymen, and might purchase more in the future. This is just something one needs to know, maybe this can be included in the manual in the future? I am curious what kind of system they use that causes this though.