...or must there be a load between them to prevent damage.?
Do
NOT connect the blue wire to the white wire.
If I remember correctly... the blue wire goes to the light bulb(s) along with a white wire (actually I checked the online manual). Those wires are powered when motion (or dusk) is detected. Without a load (light) wiring them together would be a dead short.
If you're not going to be using a light....
cap the blue wire with a wire nut. Then
cap the extra white wire with a separate wire nut.Then use electrical tape on each wire nut to be extra sure the wire nuts stay secure.
I've never used the floodlight (PR511) "
wired" without a bulb. But I have had a bulb burn out. And the sensor functioned fine without a light. I added a modified image that shows the blue and white wires (separate with wire nuts). If you don't feel comfortable and knowledgeable with wiring... get a more experienced friend to give you a hand.