A lot of the cheaper dynamos use the frame as the ground rather than using a two wire system. This means the frame of the bike and the frame of the generator need to make contact and that the contact needs to be a good one. Rain might interfere with this by creating a large wet connection to mother earth itself. Thus diverting valuable electrons from the lightbulb. I don't have any proof of this and I'm no EE graduate, but I think this may be a reason for poor performance in the rain.