It really depends on the topology and how the switching circuit works. If we take a simple buck converter it will have a minimum on time. During that time an amount of energy is transfered to the output. If that energy is not used before the next switch cycle then more energy will be transfered and the output voltage will rise without being controlled. So you need a load to absorb a minimum amount of energy or the control loop loses the plot. That's one reason a lot of modern buck converters can operate in a hiccup mode, albeit at the expense of more output voltage ripple. Flyback converters are a whole different ball game, especially if you have one controlled output and several unregulated outputs following along, or so you hope.
Datasheets and apps notes should specify a minimum load, if needed. It can vary from a low value that can be consumed by the feedback resistive divider to around 10% of the maximum current rating.
True LED switch mode supplies are controlling current, not voltage, so they work in a different way and aren't so bothered by zero output current.
The reverse is also true and a switch mode supply may never start properly if it sees a maximum load at startup. To some extent it depends upon the capability of the incoming supply. For a simple buck converter the input can be modelled as a negative resistor. For constant output power as the input voltage drops the input current increases. For very low input voltages if the supply cannot provide the current the switcher will never start properly. That's one reason a lot of ICs these days have undervoltage lockouts. So nowt happens in switching terms until the input voltage is at a sensible level.
So, like everything else – it all depends……………..
Andrew