When the PSU is set to 230 on a 115 line, it's only getting HALF voltage, so it will attempt to turn on, won't be able to stabilize it's outputs, and shut itself off. If you happen to have a really really nasty/cheap/dangerous piece of crap PSU, all bets are off.
Now, on the other hand, having a power supply set to 115 on a 230V line, will pop some parts open in many of the consumer-grade PSU.
I've had quite a few supplies shipped to me, or brought by someone who wanted me to "check" it, and flippin' the lil switch was a easy fix.