I would let the game load all of your files, but after that, I would only select the nations I plan to play in at my game setup. They others are not needed anymore for the entire world to work, unless you have some files that really depend on eachother like teams from Reunion and Guadeloupe can only play the French Cup if you load France. So then I would choose accoding to what I want in my game. Do I want to do a deep dive in one nation and go from subdivision 6A to CL glory? If so I would load less other leagues. If I don't want to play in those subdivs, I wouldn't load them at all to keep my game fast all the time. Two or three sublevels is not much of a problem, but in a lot of nations the grew almost exponentially and that makes everything sluggish.