ith a [DC-500MHz] dummy load on my new MFJ-921 2M tuner, both
adjustable capacitors have to be set at around 3 to get SWR=1.0
Shouldn't both caps be at the minimum setting for SWR=1.0 with a dummy
load connected?

The best way to get a 1:1 SWR with a tuner connected to a dummy load would be
to put the tuner in bypass (if it has one). Adding a tuner between your dummy
load and swr bridge will make the bridge see something besides 50+-j0 ohms even
with the caps set at minimum.
What you are having to do is adjust the tuner until the bridge once again sees
50+-j0 ohms. Apparently with the 921 this is with the caps around 3.
Should I reset the knobs so that they show zero when a dummy load is
connected?

Not unless you just want to. The numbers are for reference so you can quickly
reset the tuner for a given antenna or impedance.
73 Gary N4AST