Ian, thanks for the clearer explanation about the ground.
The scope ground is directly connected to mains earth.
Not knowing your circuit, I have no idea if it will have a direct connection to mains ground/earth or not, but Ian is absolutely correct - it is normal for a lab supply to be completely floating with respect to mains ground/earth and that means you can connect the oscilloscope ground lead to any part of the power supply circuit.
It is easy to make a mistake - connect the scope earth to a point in the power supply circuit when the power supply output is connected to a load that is also connected to mains earth and you have a problem again.
Mistakes are not good for the circuit you are testing, but most of the time, you blow parts on the bench and replace them. It is all part of the fun. You do though want to really look after your scope, and accidentally shorting a transformer output through the scope is just not a good thing to do. If you are not sure, connect the scope ground to the circuit via a 100 ohm resistor, and if it becomes a LER (light emitting resistor), then something is wrong.