To answer your title: no, you can never discount the outcome of an experiment as a myth. You might dispute the interpretation, or the way the experiment was performed, but not the result.
It may have been an older batch. It may be a sign of poor QC (you need a huge size from several batches from different time periods to tell this).
The setup might also have been different from yours. He uses three heavy-duty diodes as load. A light bulb is going to represent a very different load (an increasing resistance starting with a very low value). Neither are anywhere near resistive, but a lab supply is supposed to perform well in a huge variety of loads: how many of your circuits consist of only resistors?
The charge left in the caps might also make a difference. I have one supply that will initially deliver the charge stored in the output cap (the previously set voltage) until this cap is discharged, from that point on it will deliver the set voltage (note that this is a specialty precision power supply, not a general purpose one, so I don't really care). So plugging in with empty caps, setting to 0V, switch off and switch on and set to 20 V, switch off and switch on may all have different outcomes. Most supplies will discharge the caps when powered off, so unless you're quickly cycling them this shouldn't be an issue.