Sadly, Velleman/Mastech/etc. are the worst of the worst, they literally source the crappiest crap you can get from China then make 1000% profit on it (and the price
still seems affordable). These supplies have stayed basically the same for
decades, they come under hundreds of names, and are always crappy. By being exposed to these supplies, you slowly develop PTSD/allergy and immediately recognize the look.
Typical problems:
* Blow up if voltage is present on the output when power turned off
* Current limit does not work at all (noisy, jumping all over place, minimum way too high like 0.5A)
* Current limit can't drop voltage below 1.2V or so, so current limit is bypassed!
* Measurements show incorrectly, including the possibility of it showing 5.0V and actually outputting 20V
* Noisy potentiometers, voltage jumps suddenly
* Transformer tap relay thing oscillates on its own between ranges
* Just blow up for absolutely no reason whatsoever
* When they do blow up, they output the maximum voltage to your expensive once-in-a-lifetime project

The funniest detail in this mess, IMHO, is just these crap supplies come in "deluxe" variety as well, including higher ratings, dual supplies with tracking features.
Obviously, all the tracking features simply do not work at all.
Due to being sensitized to such large number of such crappy supplies, I'm always expecting the worst when seeing any "new" budget supply, even if they look kind of different.
I once had one which I got for free and I think it was the worst deal of my life.
The best thing you can do is ask for money back and buy something else. Even if you are able to get a "working" unit, it blows up half a year later.
Causing a fire is still quite a far stretch, IMHO.