Resistance boxes are generally not made to dissipate much power (often 1W max), whereas loads will frequently do 25, 50, 100W. Also, loads can be set to a specified current as well as resistance, and will often provide some monitoring features.
On the other hand, a load is a poor approximation of a resistor, so you wouldn't exactly want to use a DC load set to constant resistance mode to choose a feedback resistor for an op amp.