I can explain it how I understand each one works as I understand it.
Focus - Action occurs when the screen displays for the user. This can be on any navigation to a page.
Load - Action occurs when the screen loads. The actions will only go if the page loads itself. Switching through records on a single screen may load new info but not re-load the screen.
So if you do a back link to a screen, the load action may not fire because the page already loaded and displays the information. On the other hand, the focus action will go off because you displayed the screen again.
Active Record Change - Action occurs when the screen changes the transaction record it currently displays. I know pages have options where you can 'Set Active Record ID For Screen'. This action would set off the active record change action. The active record change option is useful when you have a grid where you can select a transaction and it displays on the same screen. This is like the Method:Classic screens estimates and invoices where you select from the grid and it displays on the right. You can do actions on that change easily in one spot instead of containing it in several buttons/links on the page.
I hope this helps.
Greg