In the following generic power supply from China which I just got, it says "Note: Positive and negative voltage are used at the same time, otherwise negative voltage is not output"
The converter you have uses the feedback from the positive output for regulation. What happens to the positive supply thus affects what happens to the negative supply, but not vice-versa.
If the current out of the positive supply is too small, the converter enters a state where the output of the negative supply is less than it's nominal value, perhaps close to zero.
Typically, the type of state that the converter enters is what is known as Discontinuous Conduction Mode (DCM). In the DCM mode of operation, there is insufficient current through the inductor (in this case positive supply inductor) during its "charging" phase of a cycle to maintain current through the entire "discharging" phase of the cycle. Very often, and most probably in your case, the efficiency of the converter drops dramatically when the converter is "deep" in DCM.
Although it means wasting power, you could connect a resistor across the output of the positive supply if you want to use only the negative supply. This will draw current through the positive supply and allow the converter to operate in a region where it provides a regulated negative output as well.