Strategy Enterprise Manager Data Loader Service:
Strategy Enterprise Manager Data Loader service is the service that needs to be running for scheduled Strategy Enterprise Manager Dataload to run. This service is not the actual process that does the dataload (i.e. move data to the warehouse tables). If this service is not started, then a Dataload process that is scheduled to run at a particular time will not run.
Consider that a user has setup a schedule for the dataload process to run every day at 10:00 AM. If this data loader service is not started then the dataload that is scheduled to run at 10:00 AM will not run. The service can be controlled from the Enterprise Manager console or can be controlled from Control Panel > Administrative Tools > Services, as shown below:

The data loader service is seen as the MAEMETLS.exe process on Windows Task Manager as shown below.

Strategy Enterprise Manager Dataload:
Strategy Enterprise Manager Dataload is the process that actually moves data from the project's Metadata and Statistics tables to the Enterprise Manager Warehouse tables. This process is started when users run a manual dataload, custom window dataload or when a dataload gets kicked off by a schedule.
The dataload process is seen as the MAEMETL.exe process on Windows Task Manager, as shown below:

Once the dataload completes, the process is not seen on the Windows Task Manager.
For more information about the dataload process, refer to the following Strategy Knowledge Base technical note:
KB16852 - What is the Strategy Enterprise Manager data load process?