One way to verify this is, If the transports, colonizers is currently inside a planet + Shipdock + Starbase. That is the unloaded one.
Disembarking them will cause them to request the load people.
Those ones that aren't inside the above list = already loaded.
This doesn't solve the issue. The issue is at the beginning of the turn when you completed construction of a colony ship and a transport on the same turn you don't know which one the game is asking you to load. I also agree a simple message change to load colony ship or load transport would work.
On another note when your shipyard asks you what to build next, it would be great to be able to see the mini-map and know where the ship yard is.