Some supplies have totally independent 3.3v, 5v, and 12v regulation, so no loading is needed (and doesn't help at all). This is how the Antec TruePower units work. But, for most other supplies, one rail is monitored and regulated and affects the other two rails. After all, these units are meant for computers, so all the rails are used.
Yeah, if the wires are long, they can introduce a voltage drop. I created a
thread about this a while back. I was losing a total of almost 0.5v just on the wiring, and that was at 9A (from the PS). This equates to a resistance of 0.056 ohms, so at a 15A draw from the PS, you can lose over 0.8v, which can make a difference.