Why A power supply's filter capacitors store energy to smooth the rectified DC, and that charge does not vanish when you flip the switch. Large electrolytics in a high-voltage supply can hold hundreds of volts for minutes or longer, enough to be lethal. That is why supplies include bleeder resistors, and why you verify with a meter and discharge the caps before reaching inside.
Watch out Circulating currents in the filter and leakage flux in the transformer both require power to be flowing, so they stop when the supply is off; kickback diode transients belong to switching inductive loads, not a shut-down supply.
Power off is not safe: capacitors keep the charge. Meter it, bleed it, then touch it.