The load current
\$I_{LOAD} = V_{TH}/(R_{TH} + R_{LOAD})\$.
Note that when \$R_{LOAD}\$= 0 the current is just \$I_{LOAD}= V_{TH}/R_{TH}\$
(in particular, note that it is finite for \$R_{TH} \gt 0\$ ).
The power in the load is \$R_{LOAD}\cdot I_{LOAD}^2\$, so when \$I_{LOAD}\$=0 or \$R_{LOAD}\$=0 the power is zero.
Also note that the load voltage will vary from \$V_{TH}\$ for \$R_{LOAD}\$ = \$\infty\$ to 0 for \$R_{LOAD}\$ = 0 since it is equal to \$I_{LOAD}\cdot R_{LOAD}\$
Power is just energy transfer per unit time, so if you understand energy you will understand power.
Typically to find the maximum power transfer condition you write the equation for load power as a function of load resistance and then differentiate wrt the load resistance and equate that to zero to find the maxima (or it could be a minima).
As AoE will tell you, that value is just \$R_{LOAD}= R_{TH}\$