Connecting the voltage sense screws of a power supply (wire gauge to use?)
As mentioned very little current needs to flow in the sense wires so thin wire is adequate.  It is used to save the cost of thicker wires as they would work just as well though using the excess copper from a thick sense wire in the power wires would be more productive in terms of power transmission.  Same gauge is sometimes used for inventory reasons on the wire or terminals.

Some clever supply designs use just one sense terminal and expect both power wires to be of similar resistance and double the voltage drop measured in the wire that is being monitored to estimate the load voltage.  The three wire RTD sensor arrangement in particular does this to save on the 4th conductor and the fact that all three wires are thin already and of the same length.