Properly earth grounding benchtop supply
"Ground" is defined as 0V reference and used for measurement purposes.  

"Earth ground" is used primarily for safety and bypassing common mode noise currents.

When you want to connect "Earth ground" to your local "ground"  then this point becomes your 0V reference.  Generally this done at the point of power entry on the board but it may also become connected to coaxial chassis mounted connectors etc.

Just keep in mind any power line filter Y cap to earth ground and/or shield currents  to earth ground may influence your local ground.

It is usually OK to connect earth ground at the PS Return by a jumper except when RF is involved.    This external low impedance "earth ground" connection may serve to attenuate high impedance stray coupling from sources of EMI.