An electronic load needs considerable time to settle in CR-Mode and also requires some "macroscopic" current to flow (depending on brand/model), otherwise it cannot control the resistance. Also please consider that on all loads (that I'm familiar with at least -- which are Rigol, Maynuo and similar ones, Applent, Chroma), there's a considerable capacitance present across their input terminals.
If you need the resistance for small signal calibration, you may consider a different option like those digital trimpots (i.e.
AD5270 or the like), maybe equipped with a floating supply / digital isolators. Or maybe, you can include these devices directly in your design to facilitate calibration.
If you need a set of fixed resistances, you may be better off (and possibly more accurate) if you use a set of fixed resistors / preset trimmers and a bunch of reed relays, or maybe an R-2R cascade to form a primitive resistive D/A converter.
Cheers,
Thomas