First of all, I'm not sure if there's a Bilstein for Crosswind. I think there is, and I'm pretty sure there's an Old Man Emu for them.
To answer your question, changing dampers (shocks) will NOT affect the loading capacity of your vehicle. It will not affect it positively, nor negatively. The dampers are just there to dampen the oscillations of the springs, so it is the springs that affect the loading capacity.
Although changing to Bilsteins or other good aftermarket shocks for your crosswind will result in a much nicer ride.
--Alf