I think I understand what you're trying to do here, correct me if I'm wrong.
It looks like you want to code the actual handler itself as part of the expression, ie, when Load fires for the drop down list, you want DataBind() to be called.
It's simply not legal to use an expression in this context in the first place. Expressions can only be used for setting public properties on the control instance - OnLoad is not a public property but an event hook generated by the parser from the control's public events.
If you set any expression on an event hook such as OnLoad, you will get a compilation error like this: Type 'System.Web.UI.WebControls.DropDownList' does not have a public property named 'OnLoad'.
Also, expression builders don't just return literals - they return expressions, hence the name. An expression in this context means a CodeDom expression which represents code that will be executed when the page is executed, as part of the target property assignment.
For example, this ConnectionStrings expression:
<asp:Literal Text="<%$ ConnectionStrings: myConnection %>" />
returns a CodeDom expression that looks like this in a compiled page:
control.Text = ConnectionStringsExpressionBuilder.GetConnectionString("myConnection");