I'm not that familiar with the PS15 but load is normally design to control your DC stuff, it will shut off if the battery voltage gets too low.
These load terminals normally have a pretty low current rating so I've never used them, I just wire from the batteries. But if your loads are under the output's rating then no reason not to use it.
As for fuses, they should always be placed as near as possible to the source of the current, in this case the load output if you use it.
Previously my fuse box/load was hooked directly to my batteries.
That's what I've always done and I see no reason to change really. It depends on your loads, it may make sense to have non-critical stuff hanging off the load output but leave the fridge directly on the batteries.
If you have such a mix then everything needs to be fused but that can still be in the same physical fuse box.
Speaking of fuses, I've always had a large one (~150A but depends on your wire size)
bolted directly to the plus terminal of the bank, you can't get any closer to the current source than that and it's saved my bacon at least twice.
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Rob