The LOAD script engine uses an interpreted language. IMHO upon encountering the first error, statement interpretation and/or execution will be aborted. If you have set ErrorMode to zero, the script engine will proceed to the next statement. Otherwise script execution will be aborted altogether.
I think you can only capture one error per statement. However using some clever code, you can capture every first error in every statement. However since the first error in a particular statement (for example "Field Not Found") usually produces a cascade of more-or-less-irrelevant errors in subsequent statements (for example "Missing table"), that may not be very useful.