A lab bench power supply that has adjustable voltage and current limits is normally happy to drive an open circuit, a dead short, or any resistive load anywhere in between. Some can be intolerant if you apply a voltage to the output terminals via some external power source, but you weren't doing that. And even if you were, that would be likely to fry a semiconductor, not a capacitor.
The only way I can think of misusing a supply that might cause the kind of damage you report is if you plug it in to the wrong voltage, like taking one which was designed for 120V AC mains input, and plugging it in to a 240V outlet. There are switching supplies which are rather omnivorous regarding their input voltages and frequencies, but most linear bench supplies are designed to accept a specific voltage, and they might even be picky about frequency.
But my first guess would be that you got a bad supply.