By under load i mean hooked up to the motherboard with the system powered up and running an intensive task. The purple powers your motherboard components when the system isnt on so that one isnt too important, the green one, when shorted to ground, tell the PSU to start up, as shown in that video.
The only 3 you need to test are yellow to black, red to black, and orange to black, i would test them with your system on and idling, and with your system at full load.