How does a benchtop power supply measure and control current?
For most uses of a bench power supply you're interested in providing a steady voltage. That's what the voltage setting is for. The current setting is a current limiter -- if your load draws more current than you've set the limiter for, it lowers the voltage until the load draws only the amount that you set the limiter for.

The idea is to keep your electronics from frying if you've made a mistake.