The engine is working harder when it's under load, and so will naturally sound louder/different than when not under load. Whether yours is normal or has a muffler hole or something rattling or whatever is another question entirely.
Shutting down generally just sounds like any small engine shutting down. If you mean shutting down when under load vs. shutting down when not under load, it's best to avoid shutting down under load if at all possible (and preferably give it a minute or so not under load to cool down before shutting it down finally).
