Why does my ESD wrist strap beep?
A fault is registered when a threshold voltage differential is measured between the banana plug of the mat or wrist strap and the provided ground. The datasheet states no more than 50mV ripple, at whatever frequency it switches (assuming it is a switcher, as a linear regulator would be hard-pressed to claim "High Efficiency"). If the connections are long enough, the magic ESD box may be registering up to 100mV or 0.1V differential.

Hook up your oscilloscope in differential probe mode between the ESD box ground and banana plugs to see if it's an issue.