Meaning of zero load and full load in circuits
Essentially, a load receives power from a circuit while a source delivers power to a circuit.

So a zero load receives zero power while a full load receives full power (whatever that is in a particular context).

Since either an open circuit or short circuit receives zero power, neither of these is a full load.

For a Zener diode regulator, which I assume is the circuit context here, zero load means open circuit.  Since there is no power delivered to the load, the zener diode power is maximum.

Full load must mean minimum power for the zener diode, not zero power, since there is some minimum current through to maintain the (more or less constant) zener voltage across.

This is due to the fact that a zener diode regulator is a shunt regulator which means that current is shunted (diverted) around the load in order to maintain the voltage constant across the output.

If the load is 'light' or open, more current must be diverted through the zener diode and thus, the power dissipation is more for the zener.

If the load is near 'full', less current is diverted through the zener diode and thus, the power dissipation is less for the zener.