Why can a switched-mode-power-supply be dammaged without load?
A minimum load requirement is usually due to a rather simple analog control scheme.  These things sometimes can't go to 0 PWM duty cycle.  I've also seen a case where continuous pulsing was required because the internal pulses were used to run the charge pump for making the gate voltage supply of a high side N-channel MOSFET.

All the reasons for needing a minimum load can be worked around.  The main reason for still doing it today is to strip off every last fraction of a penny in cost.  This can matter for high volume products used in somewhat controlled applications.  PC power supplies are a good example of this.

Note that violating the minimum load requirement doesn't usually damage the supply.  It will make the output voltage go out of spec, possibly damaging whatever it is connected to.