I can't answer for Expose, but Annotate and Load mean the following:
Annotate - add the property/value to the component when placing the symbol into the schematic or running a verification (Live or Hierarchical) and annotate.
Load - You can select a symbol or symbols in DxDesigner and choose to verify them against the component database by using the 'Load into DxDataBook' command from the context menu on the right mouse button. In this case properties marked as 'load' will be used as part of the verification process, so for example for resistors you would mark Value as 'load' then then the verification would use value as one of the search criteria for a unique match. Obviously you would want to compare several properties to get a unique component match.
Also see this posting: http://communities.mentor.com/message/17345#17345
Expose- select this option cause that this property will be visible in .dbc file