Without that short the PSU stops after 1-2 seconds.
I think it is about security = engineers don't want you to "short use" the PSU.
Do you know if I should short the 12Vs too; to avoid the house burning down?
Also how much current is going through these cables, will I need them to be thick?
That is really interesting as I have never heard of that before. Why would bridging a ground wire to itself keep the PSU on?
If you are just turning the PSU on for external miners then you will not need to short the 12V lines either. The amount of current on the PSU_ON pin is very small as it is just a signal line. Regular 18AWG wire is more than sufficient.