This looks like a similar issue to the one discussed recently in this thread..
The issue is that the multiple outputs are often developed by using different windings on the same transformer; feedback to regulate output voltage gets taken from the primary (highest-rated current or power) output, and regulation of the others happens as a result of the winding ratios in the transformer.
Without a sufficient load on the primary output, the auxiliary outputs can sag significantly because they’re not being monitored directly; the supply just sees a nice, well-filled output capacitance on the primary output, and sort of assumes they’re in regulation when in fact they may not be.
It’s a fairly common behavior, though one which is perhaps not so clearly stated in a lot of product literature.