Unloaded calipers are just the caliper...no pads. Also, the calipers are side specific, so make sure the bleeder screw is on the top of the calipers if you replace them. A loaded caliper is just a new (re-man) caliper WITH pads. The good part about loaded calipers is...they come with pads, the bad part is, the pads are usually cheap-o's.
You're better off IMHO, buying UN-loaded calipers and some quality ceramic pads. Opinions vary.
As far as sucking air even when the bleeder is closed, it sounds like you have a bleeder screw that does not fit quite right. Did you swap out regular bleeders for speed bleeders? I'm thinking the bleeders may be metric in SAE holes? or vice versa? or the bleeders are too long/short and are not making a tight seal.
I've never used any thread sealer on calipers or drum cylinders..
1990 XJ Laredo - White & Chrome
1988 MJ Pioneer - Metallic Green and Black