1. Well CRO has a 2MOhms impedance while DMM has a 10MOhms. That means the DMM is a better measurement instrument because his effect on the circuit is minor than the CRO.
2. Because there are interaction betwen the source and the load. If the load change the amount of current that will affect the source and if it is autoregulated source will take a time to adjust. if it is not autoregulated tho voltage level will change.
A cro is a fantastic tool for measuring dc voltages. Dmm's are great for fast readings but don't let you see what is going on with the signal such as ripple, frequency, peak to peak voltage, etc.
You can use a CROto measure current if you use a current to voltage converter (a resistor).
As for building an ideal constant voltage source, there are so many variables in materials, environment, etc. that it would be extremely difficult or impossible to create one. The internal resistance of the ideal voltage source would be the major obstacle.
For an ideal Voltage source the output impedance should be equal to 0.
Practically it has some non zero value and because of this, you will get your output voltage divided between the source resistor and the load..
And as others explained if the load value changes obviously the output voltage will change because of voltage divider configuration..