With a supply of that type, you're always setting the output voltage with reference to a meter, so the absolute accuracy of the voltage reference isn't that important. I always set mine with an external digital meter if I care about an accurate voltage.
However, I suppose, the two things that could be concerning you might be:
1. Drift as the instrument heats up
2. Load regulation
As suggested in #4 you could probably use a TL431 as a replacement for the Zener for better stability, but as for better regulation... that would require increasing the feedback loop gain. I'm not expert enough to make any suggestions about that, but I suspect it would mean a major re-design.
Put another way, Farnell's engineers probably made it as good as they could with those components, and you might find you need to do a very substantial re-build to get a worthwhile improvement.
I stand to be corrected, however.