My Power Designs TW5005W has a switch that toggles the full scale meter reading between 50 and 500ma. I can easily get single ma readings from that.
All the features you describe sound great, but are total overkill for 99.99% of what people do. You sound like you're describing an Agilent or Keithley source meter.
I'm not crazy enough not to admit that in 99% of the cases you don't need that kind of functionality. That applies to me as well, however there's that 1% when you could benefit from such features and the fact that they're so cheap to implement makes me want a PSU that does that.
Yes, the cheap Chinese PSUs that have those features are not trustworthy because... well, bad design, not because you can't make a good PSU that cheap.
With the HP/Agilent ones you always have to make a compromise: price, chunkiness or specs. That is because they are overpriced (at least in the EU). Obviously good supplies otherwise, but that's a bit beside the point when all you had was $100-200 and the supply you got for that price doesn't do too much to begin with.
Finally, yes, I like the crusty supplies as well (heck, I might even get one in the end), but my point is that we're in 2014 and I expect to find a few supplies out there that are well built, have good specs (as the ones I listed) and are affordable. I just couldn't find that supply yet.