Construct has no provision for only loading specific animations, it only loads entire objects. This probably won't be changed since loading textures as animations change causes jank (the game will pause momentarily while it loads the textures), so it preloads everything that might be used at the start of the layout.
In addition to that, the engine already places sprites with 20+ (IIRC) frames on their own spritesheet, avoiding long animations ever being loaded unless they're really used. So this case only crops up when you have a few animation frames, lessening the impact.
All these sheets together use just under 5mb of memory, which is not much given modern systems have gigabytes of memory. So I don't think it's too wasteful, especially since if all those objects are used together (which they will be for some different kinds of game), it is actually more efficient. Anyways, you get a kind of natural granularity as images spill over multiple spritesheets, so it still doesn't have to load everything at once.