If you suddenly place a highly inductive load on a PSU, the initial current will be zero and will ramp up exponentially to the final value of Vout/Rload. So its like like you putting a variable resistive load on the PSU and winding the knob on it very fast!. If your PSU cannot handle fast transient loads it will go into some form of oscillation and hopefully settle. A capacitive load act the other way, where the initial current is high, so the PSU might go into current limit and at the same time trying to actually increase the output voltage, which has bound to have dropped due to resistive losses times the large current. This is the critical slew rate limitation, i.e. how fast the PSU's amplifier can deliver current into the capacitive load. So with an amplifier with a limited slew rate, the output voltage will drop and only recover in the time of output current divided by the current slew rate.
Frank