when we use Load-DataPage method, system uses background thread to run asynchronously with the main thread.
It is not queued to any Agent (Because if it queues to Agent, then there will be a lot of dependency for your program on the agent and we also have to ensure the agent is running and will be returning the result with in microseconds.).
We can also configure Connect-Wait method to make the active thread wait for the background thread to complete successfully to proceed further.
Also, it is the same behaviour when you invoke Call-Async-Activity. When you invoke any activity using this method, you can only use 2 methods i.e., Load-DataPage and Connect-Wait, which makes it an option where you can create an reusable activity to group and load a set of data pages.