Whatever is on a SSD loads faster - the OS on the SSD allows faster boot. Games installed on a SSD will also start faster, but the difference between HDD and SSD isn't as big on games as it is on an OS, and indeed, keeping the OS on the SSD and games on the HDD is best.
To be more precise, Windows is made of literally thousands of files scattered through the drive, while a game will usually comprise only a handful : an .EXE for the launcher, a few .DLL, and some huge resource files that are read when needed. Now, SSDs are much faster than HDDs in all areas - but a consumer-grade HDD will be "only" 4 times faster in throughput than a consumer-grade HDD, but will have much lower (in the order of a thousand time faster) access times.
To make it short, a SSD deals with the many small files of an OS a thousand times faster than a HDD, while it will only be 2-3 times faster than a HDD to load a game - and that's without taking Internet connection delays into account.