For the automatic humidistat, aka what you have

Since you're using the automatic humidity controller, this gets somewhat...interesting. Wire up the R, C, W, and Gf terminals as directed to the furnace terminal block -- you will need to pull the G wire from the thermostat off the terminal block and send it to the G terminal on the auto-humidistat as well. Then, jumper the R terminal from the furnace to one H terminal on the humidity controller, and connect the humidifier valve wires to the other H and the C terminal on the auto-humidistat.

If you were using the manual humidistat

There is a yellow wire going from pin 10 of the 12 pin control board connector to the blower pressure switch i.e. the yellow wire that goes into the pin on that connector closest to the terminal block -- you'll need to tap into that wire and send it off to the humidistat as well as to the blower pressure switch. Your other wire from the humidistat goes to one terminal of the water valve, with the other terminal of the water valve getting spliced into the blue C (Common) wire from the transformer.

In general, a wire tap like that would be done by cutting the wire, crimping a female tab terminal (faston, quick-connect) on one end and a male tab terminal on the other, and then using a female/male tab terminal tap connector to make the 3-way connection. (So called "vampire tap" terminals aren't as reliable as properly made crimps.)

Two devices in one package can make for twice the confusion

GFCI/switch combinations are a common cause of DIY confusion, as they have more, and more varied, connections than most other electrical devices one can get at the hardware store.

In your case, you have the GFCI portion wired correctly, but the switch is what has you down. It's actually nothing special, just a plain single pole switch with no internal connections whatsoever to the GFCI. However, you seem to have your hots, neutrals, and grounds confused with regards to the switched load. What they mean by "The LOAD must be properly connected to NEUTRAL and grounded." has nothing to do with the wiring in the GFCI box -- in fact, the wiring of the switch to neutral and ground is why the switched load isn't working right now! It simply means that the load itself must be wired correctly and not in a bizarro way (such as across two hots, from hot to ground(eek!), or with a switched neutral). In fact, right now, the load can't work because there's no voltage across it with one end wired to the neutral (and ground) and the other wired back to that same neutral.

To get this all working I would:

• Disconnect the switch-wire going to the white wire bundle from the white wire bundle, and remove the pigtail from the switch/black wire #3 junction to ground.
• Cap off black wire #2 by itself since you don't yet know where it leads. (Sooner or later, you'll find the thing that doesn't work, and then you'll know what that black wire was feeding.)
• Connect one black wire from the switch in with black wire #1 and a black pigtail to the GFCI's LINE HOT terminal.
• And connect the other black wire from the switch to black wire #3.