No. A low load is just less stress than it's capable of handling.
And just to make sure we're clear, by "efficiency" I mean electrical conversion efficiency, the ratio of electric power output / electric power input. It'll just take a little extra power to get the same job done, because switched-mode power supplies designed around a certain load level are less efficient at significantly lower output levels. It's not an issue in terms of reliability or power output quality. It's not like power supplies deliver power to a computer based on whatever number is on a label.
At around $60 generally you don't find anything of better quality unless you hop online and find a Rosewill Capstone at newegg.