It has a mostly narrative effect
There aren’t specific mechanical effects for load, but the narrative effects are significant. The higher your load, the slower and more conspicuous your character is.
This is covered in most detail on page 61, near the end of the Character Creation summary, under Loadout:
1-3 load: light. You’re faster, less conspicuous; you blend in with ordinary folk.
4-5 load: normal. You look like you’re ready for trouble.
6-8 load: heavy. You’re slower. You look like a scoundrel on a mission and ready for trouble. Nobody will mistake you for anything other than what you are.
Those narrative constraints are pretty heavy, but there could be circumstances in which the GM might decide an action is possible, but with a worse position or effect. For example, a character with heavy load might have a plausible excuse to try to blend in - perhaps they’re mingling with workers carrying heavy equipment. Such an action might still be judged as desperate, or to have no more than a minimal effect. But more likely the GM would rule the action is just impossible, given how they’re dressed and the amount and kind of gear they are carrying.