What is the "DC OK" relay used for on a power supply?

I believe on most supplies it's just an indication that the power supply is regulated within preset limits. While it could be useful in the case of fault conditions I think the main purpose is during the power up and power down ramp if you don't want the circuit to be exposed to those ramps or to only wish to take measurements when the supply is at full voltage. I see the supply you've mentioned is a DIN rail supply so that's the most likely reason in this case and/or for connection to external alarms and monitoring systems.

On a bench supply one example I can think of is that if you were using a power supply with remote control capabilities you may want to perform automated repeated testing of what happens when power is abruptly removed. In that case you could use the DC OK relay to quickly remove power instead of the power slowly ramping down as the output filtering caps discharge.

Some circuits may behave in undesired fashion if they are driven with less than full power. Additionally, some devices have multiple power-supply inputs, and may be damaged if a "high power" supply is enabled while the control circuitry (which is driven by a lower voltage supply) is not active. If a power supply is used to operate the control-voltage side of things, a "DC OK" output may be used to disconnect the high-power supply except when the proper control voltage is being supplied.