@PrasadShelar  This one has 'File Retrieval method' as 'Attachment. Load data would look for an attachment attached to the Data source. 

Other SG- Data sources might have other ways of File Retrieval methods, so those are triggered. But when it's attachment, you make a dummy attachment of the data you want to test and then click on 'Load data'

The error are facing is the one pop-up, when there is not attachment. You can try loading data on a OOB data source like 'Service Definition' and it did return the same error as yours. 

But if you attach a file, it will not (I am attaching a dummy excel for verification).