Source code says:

# derives from OSError for backwards-compatibility with Python 2.4.0
class LoadError(OSError): pass

In 3.0, LoadError could have been made a direct subclass of Exception.  Now it’s too late, but a best practice IMO would still be to write LoadError in all new code.

This makes no practical difference, unless test_cookiejar does not check that LoadError is properly raised and caught at the right places.  In that case, it may be a little more future-proof to follow py-user’s advice.