Why the power supply of a CPU needs to have fast transient response? When the current loading of a CPU changes?
The current draw of a CPU literally changes every single clock cycle: depending on what operations a CPU performs at any given moment,  different transistors and more importantly, different amount of transistors switch.
Switching transistors is the main place where power goes.
Therefore, power supplies for CPUs have to deal with CPUs drawing different amounts of current, based on the different things a CPU might be doing.