I've downloaded some Skyrim mods (these with the textures folder) and put in Skyrim/Data. When I go in Data Files menu, the Load Loose Files box is always uncheck. also if I check it, then click on OK, if I reopen the Data Files menu, it's again uncheck.
Is there a mode to keep it always checked? If I check it 1 time, then can I use the TESV.exe instead of the default SkyrimLauncher.exe? It keep the Data Files loaded also if I don't go in Data Files menu every time?

it's off by default. Unless you've added a mod leave it unchecked

Mate, have you really read my post?

I have been staring at the screen too long playing Skyrim must've addled my brain

Don't worry
Btw, I've discovered that the game load the textures mods also if I don't check the Load Loose Files box and also if I use TESV.exe instead of default Launcher.

Tbh,you havent installed any mod yet,since a mod consists of a .esp file and optional textures/meshes etc

Yes, I know, but these (that anyone can find on SkyrimNexus) has only textures files and works. I have compared 2 pics of same character in the game, 1 with textures mod and 1 without textures, and it's different.