I've been trying to write a simple vba code (find script command) that will automatically load all external links in a part document... and with no success.
Are you talking about loading parts that have publications which feed external references in a part you have loaded?
Based on my experience, external reference paths are not exposed. You also cannot tell if an external reference is connected or not. In some cases you can find the document, but not the path of the document.
You can look into StiEngine/StiDbItem/StiDbChildren objects in the documentation (it isn't very well documented) and I didn't have much luck with it, likely because it is for SMARTteam.