As with all decisions with this sort of thing, the answer is always “it depends”.
You’re never going to load all your PDA’s at the start of the game since, at the very least, your maps wouldn’t be loaded and they’re a primary data asset type.
Generally you might choose to load certain types of PDAs, or a certain type and all it’s child types. And you might decide you don’t need to preload assets of another kind. Even in the one I’ve written and linked to, I don’t load PDA’s in features that are inactive.
The Game Feature System loads it’s PDA that you have to put in feature plugins as the engine starts up and they’re loaded all the time in order for the engine to know what features are available.