Differences between oscilloscope, multimeter, and power supply voltage readings
When I set my power supply to 5V, the multimeter reads 4.995V and the
oscilloscope reads 5.02V rms.

5.02 V / 4.995 V = 1.005. That's a 0.5% difference. 5.00 V / 4.995 V = 1.001. That's a 0.1% difference. The specified accuracy of your oscilloscope is +-3%, the multimeter is +-0.5% +3 counts, and the power supply meter's accuracy is unknown.
There is no discrepancy. All the measurements are within their error bars for an actual value of between 4.97 V and 5.02 V, so they are all effectively the same.