In the bad old days PSUs were linear in concept. You fed 240/220* volts into a transformer and pulled 18V and 9V ac off on the secondary windings. This was then rectified, smoothed and regulated to give the 12V and 5V DC needed. Unfortunately to do this, 1.) the transformer was large and heavy, 2.) the DC smoothing needed large electrolytic Capacitors/Condensers the size of soup tins!
These PSUs didn't need a load to register output voltage.
Modern PSUs are switched mode. The mains 240/220V* is passed through an isolating transformer; Vin = Vout, then it's rectified to give something like 350V DC (No, I'm not going to work out the correct DC value) It's then passed to an oscillator where it's chopped at about 400Hz, passed to the stepping transformer where it's then stepped down to the required voltages before smoothing and regulation.
What this gets you is much smaller components (though there are more)and greater stability on the output voltage. However... you need an output load when testing, or the oscillator won't work and you'll get no output.
Play Bonny!
* substitute 120/110 Volts as appropriate.