Few doubts about turning an atx psu into a bench lab power supply
1) Any decent PSU should not explode or get damaged by using it in a non-standard way. Usually there is overload/overvoltage protection built-in to prevent damage. A decent supply should just switch off when misused.

2) Most ATX PSUs have a mains switch at the back but some don't. When connected to mains the PSU will put 5V on the 5V_SB (Standby) line. This voltage is used on a PC's motherboard to power some circuits that are connected to the PS's power switch (the small one at the front). When you press this button and the PWR_OK pin is high (indicating that the supply is ready for action) the motherboard pulls PS_ON to ground which will turn the supply fully on.

3) yes but these are usually only for small adjustments, like set the 5 V line between 4.5 V and 5.5 V

4) Don't remove the small blue capacitor ! It is also needed for safety reasons. The fact that you measure 65 V with a multimeter is because the impedance of the multimeter is very high, like 10 Mohms. So any leakage present will result in a high voltage to be measured. It is nothing to worry about !

HOWEVER I would strongly advise against using a PC supply as a lab supply ! The reason for this is that PC supplies can deliver VERY high currents so if you accidently short a supply, like the 5 V line, easily 20 A could flow and any thin wires will start to heat up, melt the PVC isolation resulting in smoke and damage. You are far better of using a wall plug adapter that can deliver 1 A or so, this will be much safer.

For a cheap regulated and current controlled lab supply I recommend a module like this in combination with wall adapter or a laptop charger (these are usually 19V). I have one of these and they are very handy and safe.