No Need to load all the tables individually into the single DSOs.
view should be a better option.
But from the above screenshot u have put, I can see only 3 records in the first table.
So its fetching only those records which are common to both the tables i.e. 3 recs.
Now even if u fetch individual tables to DSO & take a lookup, still there also u will get as many number of recs.
BR