Why is the current control knob in DC voltage source kept at maximum initially?
Best practice when initially setting up a bench supplies is to set the voltage first with no load. 

Since the current limiter will hold the voltage at a lower level if set too low, it is prudent to turn it all the way up initially to make sure that the voltage indicated is indeed the regulated voltage not the limited voltage. Once the voltage is set it is then prudent to wind back the current limit to a level you expect not to exceed with the load you are about to attach.

If you do it the other way around with a load attached the voltage you see may in fact be the limited voltage. If the load current drops it can cause the output voltage to suddenly rise to the higher set-voltage level and may damage your load.

Generally when powering an unknown load or circuit of unknown quality, it is prudent to start at zero volts, wind the current limit to max, then slowly increase the voltage while monitoring the current meter manually. If you see the current increase too rapidly, back off the voltage and try and figure out the cause.