Do I have to load all settings of a scheme although I only want the audio files in the slots?

No. A scheme saves information about volume settings, panning and many more along with the audio files. If you only want to load the audio files without any additional settings click on "Schemes" in the menu and on "Open Scheme". After selecting a scheme (.MWS) you can check or uncheck the following parameters that should be loaded along with the audio files:
Scheme properties

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