Why do the 12 V and 5 V rails of a PSU briefly drop when the only 12 V load is removed?
You are most likely violating ATX power supply specifications.
The load current has a maximum slew rate limit of 1A change per microsecond, and the jump on 12V supply must be less than 50% of the rated maximum load, which your power supply says is rated for 18A, so the jump must be limited to 9A.
When you connect the bulb, that 55W lamp is a 4.58A load jump that is limited only by wire inductance, so the jump will be faster than 1A per 1us. However, it practice is worse than that, because the bulb cold resistance is much lower so initial current can easily exceed the 9A load change rating. A sudden large load also can make the output voltage droop until the regulation loop corrects for this. For some reason, connecting the load does not trigger overcurrent protection or undervoltage protection.
For reference, to limit 12V to have change rate of 1A/us, you would need a 12 Henry coil.
The problem is even greater when the lamp is disconnected, as the loading goes from 4.58A directly to no load at all. As the PSU output coil has inductance, the 4.58A cannot change instantly, and when load is disconnected, the current only flows into PSU output capacitor and output voltage jumps higher than intended which triggers overvoltage protection. Having extra capacitance connected would cause the voltage to rise less by capturing the current surge until it stops, and having extra load to draw some current would consume the voltage rise from the current surge faster.