DC Power supply, current and voltage are independent of each other?
On a bench power supply, such as the one in your link, the voltage and current settings are maximums.

Normally, you would want a constant voltage supply, so you would set the desired voltage, and set the current limit to more than you expect your circuit to draw.  If the circuit draws more than the set limit, the supply will reduce its output voltage to keep the current below the set limit.

In your simple circuit with a 1K resistor, with the supply set to 25 volts and the current limit set to 5 mA, the supply would reduce its output voltage to 5 volts, to limit the current to 5 mA.