@marco for debugging?
Your universe is empty until 2002. A helpful error message to that effect is supposed to be presented, but the missing data cause something else to fail beforehand. I'll make it work as intended; but in the meanwhile, load should succeed if you change the start date to 2002-02-24 or even 2002-03-17. Run a screen backtest on your universe to see when the number of stocks picks up in earnest.
That did it. Thank you for the guidance.