Why are there current and voltage limits in a DC bench power supply?
Q1) Why the DC PSU have low voltage usually in the range of 18V-24V?


Because that covers the operating voltages of the majority of electronics circuits for auto, audio, computing and industrial applications.


  Q2) Why is there a current limit builtin to the PSU, a/c to my understanding, the PSU should only supply voltage ... and current should depend on the resistance of the wire or the internal resistance of supply or component attached i.e. a resistor or LED?


Correct, in general, but the current limit has many useful applications:


Protection when there is a fault in the circuit.
LEDs require constant current drive so setting the current limit rather than a voltage limit is much more useful.
The PSU can be used to charge batteries with a current and a voltage limit.
Small DC motors can be run in constant torque mode when driven by constant current.



  (i.e. energy to the electrons in the circuit wires) 


Forget about electrons in wires. It will lead you into all sorts of confusion. Just think of voltages, currents, power and energy.


  Q3) When we short the terminals of the power supply, why the voltage on the supply approaches ZERO? Because the VOLTAGE DROP is ZERO (since no component is attached) but the voltage on the supply TERMINALS should not change?


There is a component - a very low resistance - maybe 0.01 Ω, for example. If the voltage were to stay at 18 V then a current \$ I = \frac {V}{R} = \frac {18}{0.01} = 1800\ \text A \$ would flow. The power supply can't deliver that so the current limit cuts in and the voltage collapses to the voltage drop across the component at the current limit. In this example, on a 3 A supply, that would be \$ V = IR = 3 \times 0.01 = 0.03 \ \text V \$.



Figure 1. A typical bench PSU.

Depending on the PSU's voltmeter resolution the display may give an all-zeros reading for a short-circuit test.