Current limitation might be too slow to react due to output capacitance for example, but that should happen if your CV voltage is set high and you connect the wires to the LED suddenly, with output set on.
If it really did die during you ramping up the CC setpoint, it seems strange.
If unsure about of the behavior of PSU, using series resistor is a good idea. Of course it wastes some power because now you need to output higher voltage than the Vf of the LED, part of which is wasted in the resistor. But the PSU still maintains the CC regulation and you can do whatever measurements you want to do in lab.