If your current mode control range does not extend to negative
currents, then achieving zero is iffy. A baseline load helps ensure
you are in the linear control range, a fundamental requirement
for deriving a sane loop compensation.
Then, having a finite output impedance (Iout=0, is like infinite and
the load-pole may slide way in and become dominant) helps you
set compensation that has better dynamic response, not having
to accommodate as much range of load-pole movement.