Is it OK to have a connection between 0 and PE on a DC device?
Figure 1. The LED strobe controller is powered by 24 V DC.


  I was surprised to find out that 0V and PE are shorted, as well as the metal casing. 


That is a surprise.


  I was under the impression that this was not OK. Is this an actual issue or are they allowed to make such a device?


I don't see why they wouldn't be allowed to make it but it should be clearly stated in the user manual. In fact, it's not even unclearly stated in the manual. There is nothing to give a clue.


  As a side question: is there anything to be gained by shorting earth and zero inside a device like this?


No. It could cause a nasty surprise to the user.