The right vocabulary for everything related to booting a µC and loading a program
Ok, let's first define some terms and the differences between them.


Bootloader


This is a small program coded into the chip's Flash or PROM.  Its purpose is to allow you to install a program from outside into the Flash or other internal storage.  Apart from that it is usually completely passive and doesn't affect your running program in any way.


Loader


This is a small program coded into the chip's Flash or PROM.  It is usually installed using the bootloader originally if one exists, or it can take the place of a bootloader and also perform the functions associated with that.  It's main function is to load a program from some storage medium - be that flash, SD card, or whatever - and execute it.  It often also provides some IO facilities, such as routines for accessing the console.  Loaders also often provide a configuration environment with NVRAM (often just a block of Flash) for storing system settings.

As you can see a loader is far more complex than a bootloader.

So they are just both concerned with getting your program into the right place, be that into Flash or RAM, depending on a) how your program is written, and b) what your system is designed to do. That is the "loading" phase of the program.  With the bootloader the "loading" is done once by you when you burn your program into the chip. With the loader it is done every time at reset (if needed).

Then control is transferred to your program - be that in RAM (with the loader) or Flash (with either the loader or the bootloader).  From then on everything else that happens is purely down to what your program does.

If you happened to write your program in C, then you will have certain C conventions and C library code in place.  One of those conventions is the concept of the .data, .bss, etc.  C library code manages those sections for you, copying data from .rodata into .data (or wherever for your system) if you are executing from Flash, blanking .bss, etc.  That routine is called "crt0", or C Run-Time stage 0, and is responsible for the initialization of your program and passing control to the main() function.

If you didn't write your program in C - say you wrote it in Assembly, then what happens when control is passed to your program is entirely up to you.  You might decide to have some block of RAM set aside for global variables.  You may not.  It's entirely up to you.

So in general, once control has been passed to your program, what happens then is entirely down to your program.

As for setting things like clocks and such, well, that depends entirely on the chip.  Most of them have the basic clock settings stored in flash and are loaded up at power-on before anything else happens.  On some chips they form part of the bootloader, on some they are separate, etc.  Some chips provide a way of adjusting the clock from software, some don't.  If they do, then when that would happen is anyone's guess.  The bootloader may set the clock, or maybe a loader, or even your own program might set a specific clock speed.

For the stack pointer, each environment in the boot sequence is a separate system in its own right.  Typically the bootloader or loader would set the stack pointer for its own usage.  Then when control is passed to your program the stack pointer will be re-initialized by your program to suit its own needs.  Once your program executes the bootloader or loader as good as doesn't exist any more.  Yes, there may be the ability to call functions based in the loader (like a PC'S BIOS calls) but the loader is no longer running as such.