I assume that this question is not asking about radio transmission, but about some recent Youtube videos that explained that even in DC (or low frequencies like 50-60 Hz) circuits with wires connecting all the elements, the energy is actually carried in the fields around the wires rather than the wires themselves.
As we know that the electrical energy is transferred via electromagnetic waves from the source to the load.
As pointed out in the comments, this would be better worded as saying energy is transferred via the electromagnetic field, rather than by waves.
how these waves get to know that where the load is actually connected, i.e. at which position or where they have to actually go?
The wires guide the fields.
Mathematically the wires put boundary conditions on the equations from which we determine the fields. More simply, the arrangement of the wires controls where the fields go, and so they control where the energy is transferred from and to.
if any load brought towards the closed circuit doesn't starts to work? For an example, if a bulb is connected to a circuit and it's glowing and then, if we bring an another bulb towards it, then it should also start glowing without any connections because electromagnetic waves are still present in the surroundings
As pointed out in the comments, this can work. I've never tried it myself, but if you bring an old-school fluorescent tube near high voltage (10's or 100's of kV) power transmission lines, the tube can light up.
In the case of smaller bulbs near lower-voltage lines, the metal (and to a lesser extent, other materials) of the bulb also affects the fields around it. Metals in particular effectively collapse the electric fields around them, because the electrons in the metal rearrange to create their own field that opposes the external field. Again, mathematically we'd say the metal creates a boundary condition on the field.
Only if the bulb is very large (like the fluorescent tube) or the field is very strong (like around the high voltage transmission line) do we see significant amounts of power transferred to the bulb floating in space near the other electric circuit.