The output "switch" will be a transistor of some sort.
That may have some small amount of leakage, or there may be other components connected for internal monitoring or protection.
A normal digital multimeter has very high input resistance and does not take enough current to mask the leakage, as a normal load such as a relay or PLC input would.
(eg. imagine the prox sw has a 100K or 1M resistor from brown to black, while meter is typically 10 megohm)
The only thing that matters is that the function and voltages are reasonable when the prox switch is connected to its proper load, which will draw far higher current that the meter.
If they are not OK then, it's faulty..