It would be fantastic if there was a way to add automatic loading capabilities to scriptable object assets. There are many use cases for this ranging from game-wide controllers and managers to allowing custom asset packages to automatically initialise without the need for any manual setup by user.
I feel that this would be best implemented as an "Auto Load" toggle on a per asset basis. This would effectively allow multiple instances of the same scriptable object class when needed. I feel that the best location for this new functionality would be within the ScriptableObject class itself.
With this added flexbility I also feel that there must be an easy way for users to locate and disable this functionality using an editor window. Since this is project-wide, the best location for these controls is probably "Edit | Project Settings | Script Execution". Here is a mockup of such an interface: