This happens because the designers of the power supply took the cheaper option that causes more pain for their customers.
There are at least two good ways to make a dual output power supply. One is to build two seperate flyback converters (the input rectification and if-present power factor correction can be shared), the other is to build a power supply for the higher voltage and then add a buck converter for the lower voltage.
There is also a crappy but cheap way, building a converter that shares the transformer and control logic between the two outputs. This works OK under high load where output voltage is deterined mainly by duty cycle but under light load the load current plays a much greater role making it very difficult to keep both outputs in regulation.
This behaviour may be acceptable for systems where the power drawn is roughly constant but it sucks for modern digitial systems which can have a very wide variation between idle power draw and full load power draw.
Read the datasheets carefully, especially for multi-output supplies and steer clear of power supplies with high minimum load requirements.
Almost every computer PSU has minimum load.
And when haswell came along and introduced new lower-power sleep states the PSU vendors had to hastilly redesign their products.