Noting that the analogs (79xx, 79xx, 317 etc) usually only require a minimum load of 10mA - eg, a LED or 500 (560) Ohm resistor. For the 317, a 120 Ohm resistor is often chosen for its 1.2V reference resistor (it could be larger if a LED etc is used across its outputs).
I saw SMPS equivalents to 3-terminal linears ages ago, but they were never that cheap! So x2 - nice find!
As to no heat... well, the ~0.8W at full load should be fairly insignificant, and is far better than the equivalent 13W from a linear.
And of course the usual SMPS theory where no filtering should be required for inputs or outputs (HF noise excepted). (Strange that high power amps need max voltage for max output eh?)
I suggest you have a look at switching regulators, they tend to give the most eff. and low heat, lm2575 - 1 amp. and lm2576- 3 amp.. these regulators come as standard 5v/12v versions and also adjustable versions. i have been using these for many years now and have found them to be very reliable.