Off-Load the VDR clips the upper voltage from climbing too high. But if your supply is crashing, then you are trying to draw too much current - that actually is an additional safety feature. If you measure the volts across the supply Capacitor, you'll find the whole lot appearing there.

If you just put a 5v Reg (like a 78L05) in circuit and your output crashes, then (a) your Regulator is defective, or (b) your main supply Capacitor is the wrong value for the current you're drawing or itself defective.

That circuit and the values given is good for 10-30mA total. You can measure how good the circuit is by putting some Resistors in series with a meter set to mA across the 11v VDR. Put another voltmeter across the VDR. Now increase the load (ie decrease the Resistance) until the voltage just starts to drop to say to 10v. That will the the maximum (total) useable current from your PSU based on the main Capacitor you're using.