Why would a bad PCI-E power line cause the 32-pin connector to fault? (computer power supply)
I would have expected just the bad connector to fault


No, depending on the fault the whole unit goes down - PCIe power cable is +12V and GND only, but a fault like a short is supposed to trigger a protection circuit that turns everything OFF. 

Otherwise, "halt and catch fire" may happen literally and not just figuratively.