Why does a DC PSU have a low output voltage limit, usually in the range of 18V-24V?
The limits on most DC bench supplies are usually more like either 5 V or 15-30 V, and that's because these two ranges cover most electronic circuits. The 5 V range covers most digital electronics, being both the old 5 V standard plus the newer 3.3, 2.5, 1.8 and lower standard voltages. The higher range covers most analog electronic circuits.
Power supplies for voltages outside this range are for specialized uses, and thus are rarer and more expensive than commodity bench supplies.
Some power supplies incorporate both of these ranges, and some only one. A common configuration is two outputs with 24 or 30 V limits for powering bipolar analog electronics plus a single high-current 5 V output for powering the digital section of your circuit.
Many bench supplies have floating outputs, so that in a pinch, you can connect the + and - terminals together to get up to 60 V or so. That covers even many uncommon use cases, further lowering the need for higher-voltage power supplies, thus making them even rarer and more expensive than you might initially guess.
Why is there a current limit built into the PSU?
We'll get to part of it with your third sub-question, but as others have said, it's because it is frequently useful to have one.
One use for it I haven't seen mentioned yet is that it's a good backstop for your design efforts: if you've designed a circuit to draw no more than, say, 330 mA but you hear the current-limiting relay click in while working on the circuit, you know something is going wrong.
Another use is that you should design for the power supply you are eventually going to include with the finished design: you don't want to design a circuit that only works properly when powered from a nice bench supply! Low-quality wall warts will have their own current-limiting behaviors, so you want to test for that before you ship the final product. Enabling current limiting is one way to do that before you have selected the shipping power supply model.
You might think, for example, that your circuit runs just fine on 40 mA but needs about 200 mA for the inrush current at power-on. So, test it: set the bench supply to a 200 mA current limit and see how it behaves. Some circuits will do bad things if current-limited during power-up. If yours does this, then you have two choices:
Fix the circuit so it copes with a constricted power current during power-up.
Raise your chosen limit: clearly you're going to need a bigger power supply for the shipping version of the circuit.
You don't want to have a collection of dozens of wall warts with different current limits just to test this, any more than you want dozens of wall warts with different voltages. The voltage and current limit features are complementary.
When we short the terminals of the power supply, why does the output voltage on the supply approach zero?
What does Ohm's Law tell you?
If resistance goes to nearly zero and voltage stays high, current approaches infinity, which if allowed tends to create an arc welder.
All real circuits have a current limit. The one in your bench supply is trying to save you the bother of scraping molten metal off your work bench after shorting the terminals. Also your hands, face, and eyes.