Puzzled installing combination GFCI outlet/switch to replace switch in old house
Two devices in one package can make for twice the confusion

GFCI/switch combinations are a common cause of DIY confusion, as they have more, and more varied, connections than most other electrical devices one can get at the hardware store.

In your case, you have the GFCI portion wired correctly, but the switch is what has you down.  It's actually nothing special, just a plain single pole switch with no internal connections whatsoever to the GFCI.  However, you seem to have your hots, neutrals, and grounds confused with regards to the switched load.  What they mean by "The LOAD must be properly connected to NEUTRAL and grounded." has nothing to do with the wiring in the GFCI box -- in fact, the wiring of the switch to neutral and ground is why the switched load isn't working right now!  It simply means that the load itself must be wired correctly and not in a bizarro way (such as across two hots, from hot to ground(eek!), or with a switched neutral).  In fact, right now, the load can't work because there's no voltage across it with one end wired to the neutral (and ground) and the other wired back to that same neutral.

To get this all working I would:


Disconnect the switch-wire going to the white wire bundle from the white wire bundle, and remove the pigtail from the switch/black wire #3 junction to ground.
Cap off black wire #2 by itself since you don't yet know where it leads.  (Sooner or later, you'll find the thing that doesn't work, and then you'll know what that black wire was feeding.)
Connect one black wire from the switch in with black wire #1 and a black pigtail to the GFCI's LINE HOT terminal.
And connect the other black wire from the switch to black wire #3.