Ensure that the straps are installed exactly as in the manual page you posted, Fig 3-2. These are important connections.
With nothing connected to the power supply, the current meter should not rise above zero (nothing is drawing any current). The voltage output should respond to adjusting the voltage control. Your symptoms indicate something is short-circuiting the output. This model does not have a crowbar (a type of over-voltage protection circuit) but it does have a reverse-biased diode across the outputs. This diode is intended to protect the supply from reverse voltages, such as if you connected another voltage source like a battery backwards across the terminals, or under some conditions when using two supplies in series. I suspect this diode is failed short. It appears to be CR34. Remove it, test and replace it if necessary. I'd use a 3 A diode like 1N5401 (5404,5407, etc).