But can you please tell, why doesn't it TRIPS when I switch the SMPS post connecting the load? How does the SMPS handle inrush currents in such cases when the load is connected prior to turning the SMPS ON?
Several things could be happening here.
One is that there is a time delay during power-up before the supervisory IC begins to do its thing. Several of the normal protections are temporarily inhibited during this time as the rails come up and stabilize to proper voltage. This allows just enough time for the filament in the halogen bulb to warm up so its resistance is high enough it no longer draws excess current to trip the OCP.
Measure the resistance of one of your bulbs when cold - you'd be surprised how low the resistance is. I happen to have a 25W 12V halogen bulb sitting here, this bulb would normally draw only about 2A in operation. The cold resistance is 0.5 ohms, meaning for a brief moment when power is applied to the bulb it would draw 24A!!! That's more than 10X the normal operating current for that bulb!
Another reason might be the very sensitive short-circuit protection incorporated into most PC power supplies. It might be interpreting the extremely sudden high current as a short-circuit and thus tripping the SCP. It's deliberately sensitive as most of the wires in a typical PC are way too small to carry anywhere near the full current that many power supplies can output, so it needs these protections for fire safety, in case for instance an individual wire gets pinches or chafes on the metal edges of the PC case and shorts out.
Lastly, the sudden load of the cold halogen applied to the power supply when it is already turned on without other loads, might just be too much for the feedback loop to respond quick enough to avoid the rail dropping out of tolerance, thus shutting down the power supply on under-voltage protection (UVP).
I would suggest looking up the datasheet for whatever supervisor IC is used in your power supply. Lots of good information to learn from in there about all the various protections inherent to a PC power supply. Also, halogen bulbs make lousy power supply test loads because of their non-linear resistance characteristics.