On my Korad KA3005P when I set the PS to 9V, 20mA my Fluke 179 says 8.99V, 20mA with the output button on.
With the PS still set to 9V, 20mA and the output button is off the Fluke says -112mV, -0.11mA.
With the PS set to either 9V or 5V and 5ma and the output turned on I get 5.7mA on the Fluke.
I found a newer version of the calibration routine (attached below) - probably worth giving it a try.
EDIT: after warming up the 5.7mA reading became ~5.4mA.