The line and load are always part of one loop so if you left them disconnected you wouldn’t have any power to the light. The idea is that you are going to break the loop only at the master now that you are using networked switches. You want the loop to bypass the auxiliary altogether.
If the model you have uses traveler wires, The auxiliary will communicate with the master by the physical traveler wire, essentially acting as a remote to the master.
If the model you have communicates by radio between aux and master, the neutral will power the radio in the aux.
But check the FAQ, it has pictures and everything.
