Whenever you connect anything there is going to be some form of a peak inrush load. Being mostly inductive and/or capacitive in nature it can represent a couple hundred percent of your nominal full load amperage and cause a sag. Disconnecting some loads can also cause transient spikes as the magnetic field in an inductance load collapses (relays can be really bad about this.) Some busses, like USB, are designed in a way to compensate and hot sticking a compliant device on a USB port doesn't cause any real issue. On the other hand most other parts of a computer are not so tolerant. The power connecter you are describing is typically a straight line connection to several voltages to the main power rails on the PSU. So when you cause a transient or a sag, by hot-sticking something directly on the PSU power rail, you are potentially disrupting voltage for just about every component in the computer. That is why unless a device and it's bus are designated hot-swap capable you should never change any hardware with the power on or even plugged into the power supply, same goes for batteries on laptops. Generally speaking there is some transient protection built into a PSU but it typically isn't designed for this kind of an issue. Hot swappable PSUs and drive bays are pretty normal at the server level, but almost non existent in the consumer space.