{Collins} Testing 516F-2 with No Load is a No-No?

I read that testing the 516F-2 without any load (KWM-2 or 32S-x attached) is a no-no.  I understand why this is bad for a switching supply but why is that the case with a regulated transfomer supply ?  The voltages will be higher without load and current draw should be very low so what's bad?
tnx in advance 

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