I really don't understand why that option is not available when running in client mode.
Same reason you can't do Cover Art updates from the MC Client, or run the Rename, Move, & Copy function; MC needs direct access to the files in order to do those processes. If you are running MC on a Client in a Client/Server configuration, MC doesn't have direct access to the EPG data files. They are served from the MC Server.
If you run the EPG load process on a local library on a PC that is also used as a MC Client with a Server database, that is fine. The EPG data is saved in the local library.
If you run the EPG load process on a MC Client that is connected to and using a MC Server library the EPG data is saved in the copy of the Server library that has been transferred to the Client. Every time you re-connect a MC Client to a MC Server the MC Server library is copied to the Client, and overwrites any EPG data previously loaded on the Client when using the Server library.
In general, you should never run the EPG load process on a MC Client. Run it on the MC Server, and then let that Server serve the data to the Client.