Why shall I connect the sense lines?

The sense lines are used to compensate for voltage drops on the load lines.
The longer the load lines and thus the greater the ohmic resistance of the load lines, the higher the voltage drop on them. The greater the difference between the voltage at the output of the device under test (DUT) and the voltage at the load input, the less accurate the control response of the load. To compensate for the voltage drop, connect the sense lines separately and apart from the load lines directly to the DUT output:

Input and sense lines

If the sense connections are not wired, the load will automatically measure the voltage at the load input. However, the accuracies for voltage measurement given in the technical data only apply when sense lines are connected.