Usually, taking radio power supplies as an example, you set the voltage to 13.8V and the crowbar to 15V. The specification for the load sets the voltage tolerance. Typically this is max input voltage of LDOs, capacitors, ICs etc directly connected to the supply considering power dissipation as well. Some things designed for say 9v input will quite happily run at 12v depending on how the internal power is arranged.
In you example with blown zener and output voltage skyrocketing. Do you propose to have a second reference that would only be used for crowbar?
There are two cases where the crowbar comes in handy as well which are almost never mentioned as well. Firstly, and this does happen with RF stuff, when there is RF noise on the sense lines to the supply. Secondly, when the load is too inductive and the supply starts oscillating. Even the best of power supplies can be coaxed into oscillating (try running something like an SMPS on the end of a few metres of untwisted wire.
In both example, when crowbar fires the output drops to zero, is that correct? I'm not sure how useful is that, the load remains with no power. Probably, very special cases. If PSU is oscillating, the only way to "fix" it is to switch-off and do something about it. Like, adding more output capacitance, or reduce loop bandwidth, or use shorter wires, add filtering on sense wires, or something.
As of oscillating, I was thinking if power supply can detect that. I considered using window comparator, or ideal diode bridge and AC-coupling to rectify and sense peak-to-peak voltage, but it was too much added complexity to my liking. Probably, digitally sampling output voltage and processing in software is easier, but might be not as fast as a hardware solution.
I was also considering not a crowbar, but a down-programmer (essentially a load resistor triggered by comparator when output voltage, say 5%, above set voltage). Also quite tricky to make everything nice, fast and stable.
PS I'm currently making a power supply, and I made CV feedback with adjustable bandwidth: fast and slow. Slow is to drive troublesome loads. Also helps with stability at low output currents (below 1mA) when output stage has too much gain. I think a few commercial power supplies too offer switchable speed.