Yeah, not really anything against it, one way or another. Main thing for lab supplies is, no one cares about efficiency because testing is expensive any way you cut it. A production test might take higher priority, but lab supplies generally don't find their way into that setting (well, fancy GPIB digital ones for ATE notwithstanding, I guess).
The main thing I'd look for is, big watts -- hundreds to thousands of watts, or high voltages that are difficult to regulate otherwise. One downside with post-regulation on an application like this: if the supplies get out of sync, the linear regulator still has to handle -- potentially -- the full output voltage, so you can't safely run, say, 200V at 2A with just an LM338. Short circuit transients would be a big problem, discharging the switcher's filter caps through the regulator -- just dumping it through a 30V TVS for instance isn't going to be very nice to the TVS or the regulator. On the upside, high power applications are unlikely to demand microvolt noise levels, so a straight switching output, maybe with some better than average filtering, is likely more than adequate.
That said, I've done low power testing on 10kW equipment using a cheap POS bench supply, one of those $300 1kW jobbies. The common mode noise is so intense, it causes measurement errors (spurious waveform triggering, spikes, peaking, and control loop oddities) in the equipment -- and this is with the case wide open, probes everywhere, looking at the raw, unfiltered inverter waveforms!
Tim