The LZW36 is not a switch! It contains no internal switching or relay function, hence not having a load terminal. It sends the switch signals to the canopy module by 900Mhz radio wave, and only needs line and neutral in the switch box to power the “switch” electronics.
If you are replacing an old one-wire light switch with the LZW36 and there is no hot in the ceiling box, then there is no harm in feeding the power up to the canopy controller by putting the load wire onto the line terminal in the switch box. If there IS hot in the ceiling, you probably don’t want to potentially cross-connect two hots on different circuits over the load wire between the switch box and ceiling box…