Do non recorded activities count towards Load focus stats?

No. You need to record the activity for it to feature in Load Focus and related metrics.

Thanks for the quick reply. I suspected this may be the case, as I typically have a load focus skewed heavily towards hi aerobic/anaerobic. I typically record my running as an activity but not any casual cycling or walking. The cycling/walking would otherwise boost the low aerobic score

You may not see much contribution to balancing the Load Focus from recording your walks but recording the cycling should a greater contribution towards balancing the Load Focus.

Am I right in thinking the activity needs to be predominantly in HR zone 2 to count as a low aerobic activity?

You will also get some load off of Zone 1 but not much. For example a 1:20:00 (one hour twenty minute) 6.35km recent walk produced a load of 17 off of 0:13:15 in Zone 1 (there was nothing in the other zones). I think below Zone 1 also contributes but haven't found an activity yet where there is no time in Zone 1 or above to say for certain.