Is there a hot Key for Set Active Load?
No.
The fastest way to Set Active Load is by using the alternative interface.
Also, if you 'fire' a weapon by ctrl-click within it's field of fire, that weapon will automatically be selected. But as the Allied, you do have to be careful with the Y-Gun especially. All too often I have accidentally launched a destroyer's torpedo instead of the Y-gun because the field is so small!!