You need to review where you are making your measurements. Are you taking the output of the regulator out to a test point where you connect both the load and your voltmeter? That can easily get you the 10mOhm needed to give that level of load regulation.
No connection, trace, or wire is zero resistance. The LT3042 is going to regulate its output voltage based on where the GND pin is, the SET pin is, and where OUTS is connected. The part is tested, measured, and specified at the pins of the package. Any parasitic resistance you add in when building it up in an application will throw off your results.