This website explains all of those terms, at least how they work in 5e rules. Of course, in BG3 some rules have been modified or ignored.
Heavy: Small creatures have disadvantage on attack rolls with Heavy Weapons. Additionally, some feats (e.g., Great Weapon Master) only apply to Heavy Weapons.
Loading: Because it takes time to load the weapon with ammunition, a creature can only make 1 attack per turn with this weapon regardless of the # of attacks they can normally make. Some feats (e.g., Crossbow Expert) allow you to ignore this property.
This post is yet another example of why a better compendium/glossary is *needed* in this game. There are so many D&D and Larian-only terms that are not explained well. Every significant term--rule, mechanic, famous person or place, monster, etc--should somehow (through a hover-over pop-up or a link that brings you to the in-game glossary) lead to a description of that term.