Appliance modules, and the 3-wire switches (requiring a neutral), such as made by Leviton for non lamp loads, all have some trickle current, which is needed to keep the modules operative. The difference is that the "trickle" current does not have to pass through the load. It passes from the hot wire through the module to the neutral. So this current is independent of what the load is, and a load which does not have continuity when it is off, can still be controlled.
There are a wide variety of bulbs, such as various Halogen and fluorecent bulbs whichc have no ciontinuity when off. So, the control module gets no power, and can't run.
There are ways around this when needed. I have friends who have outside lights consisting of numerous fluorescent or halogen bulbs, and theiri X-10 controller stopped working. Replacing one of the bulbs with an incandescent type, solved the problem, as a path was now provided, and full control of all bulbs was restored.