ATX PSU 3.3V output dead short with ground
Nobody knows how your particular PSU works internally, and the schematic is usually not public available.

But typically, an ATX PS delivers about 20-25A on the 3.3V rail. If it were a simple transformer, the wire on the 3.3V side would be quite short and thick. Now, a power supply is more complex. There is a rectifier, typically made of schottky diodes. They already have low forward voltages of about 0.4V, but if your DMM draws a really small test current in the order of 1mA through a diode which is made for >20A, the voltage drop can be negligible, and your DMM won't notice the Diode.

Last, there is a quite large capacitor (several mF) right before the output, and if you attach your DMM, the cap will look like a short circuit for a several seconds.

Finally, your question is a bit like I have a 3000W motor which works fine. How is it possible that I can easily turn the shaft by hand when power is off?