When in doubt, always download and read the manual for this instrument.
In general, if the switch is directly connecting the power supply output to the output terminals, or even if it does the same thing with a relay, the surge current flowing into or out of the P/S would easily damage the relay or the switch upon turn on or cause the power supply to be severely damaged.
The use of a series diode would certainly prevent a load dump back into the power supply, but would not protect the contacts of a switch or relay within the P/S from damaging surge currents into the power supply load.