Load Locations (the wizard tool) and Add Locations (the geoprocessing tool available through ArcToolbox) technically do the same thing. You can use either within ArcMap. Load Locations is accessed by right-clicking input classes in the Network Analyst Window or by dragging and dropping layers into the Network Analyst window. Add Locations is accessed from ArcToolbox. If you are seeking to automate a workflow through model builder or python, you will need to use Add Locations.
You might notice some things (for instance the "Exclude Restricted Portions of the Network" button) in Add Locations that don't appear in the Load Locations dialog. Some options apply to the Network Analyst layer as a whole and can be set in the layer properties instead of in the Load Locations dialog.
Please let me know if you have any further specific questions about how to do something in either Add Locations or Load Locations.
I've also noticed that occasionally the Load Locations dialog will incorrectly plot my locations; Add Locations places them correctly every time; despite taking a few more seconds to set up. However, it doesn't give locations the same location numbers (for example, in an OD Matrix), so you can't depend on those values to organize your data.
