If I’m understanding you correctly, you are asking if the tone of the direct output on a 2notes Captor X will change when you plug a speaker into the load box. So assuming I’m getting that right, the answer is maybe.
Some reactive loads bypass their internal load when a real speaker is plugged in. When that is the case, yes the tone will be slightly different coming from the direct out when a speaker is plugged in. The reason it would be slightly differently in the above case is because the amp would be seeing the load from the actual speaker rather than the “simulated” load from load box. The load response of an actual speaker will never be EXACTLY the same as the internal load of a load box. However, they would be VERY close and I would say they’ll be close enough that I wouldn’t even worry about it. If you’re recording direct like that, the amp settings, the guitar and the IR you use will have a far more profound effect on your tone than whether or not a speaker is plugged in will.
If the load box uses the internal load even if an external speaker is plugged in, then the tone from the direct out should stay the same whether a speaker is plugged in or not.