This is actually by design. The thinking is that when copying a component design between different projects (or different workspaces) that in general you want to match the design settings, but not necessarily the loads. If the loads were copied as well, then any loads in the target workspace would be replaced. It is really a trade-off on how you want to do it, but our decision was to copy the loads over if retrieving a component in the same project or workspace, but for global projects and workspaces to not copy the loads.