How to load the selection

You will find that at times you will seem a menu item grayed out and at other times the same menu is not grayed out.   When a menu item has requirement for used if a requirement is not present Photoshop will usually gray out the menu item to let you know that the item is currently unusable..

If you have not save any into alpha channels that option will not be available If Photoshop current target is the background layer. Target some other layer or have  some saved selections you can load.  Photoshop grays out menu items when they are currently unavailable for some reason.