Do air unit moves include from island/coastal territory to neighbouring sea zone? Or is this a +0 move?
It costs one movement point to cross any boundary, including from an island to its surrounding sea zone or vice versa.
Can land units (with move 1) load onto and off a transport in a single movement phase?
i.e. does loading and unloading count as a move?
Yes. Loading and/or unloading uses a land unit’s entire movement, whether it can move one or two spaces normally. It can load, unload, or both, but it can’t move before or after doing so.