This is expected. The windings of the transformers should be strongly coupled, meaning their that their voltages should always be related by their turns ratio. So when you load the 15V output and its output voltage starts to drop, that will also cause the 5V output to drop. The feedback loop will counteract this, and this will also regulate the 15V output. This is called cross regulation. The quality of the cross regulation will depend on various things like winding resistance, leakage inductance, and diode drops.