I actually just looked this up a few minutes ago to find something out myself, I don't believe there's a feature for that. I believe it's on their list of upcoming features, but right now, the only "loading" aspect is the spinning cog/wheel/windmill/whatevevreyouwanttocallit on the bottom right of the screen.
Having trouble with your game? Sounds like a personal problem.
But how does twin swords author @POM know when the spinning wheel is going to display because he shows a loading graphic in conjunction with GS default spinning wheel.
When a scene change happens GS has to load it. So when ever the scene change behavior occurs simply have the graphic display where you want it then 0.01(or some other amount) sec later have it change scenes. The scene will freeze with the loading graphic while the wheel spins.
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Having trouble with your game? Sounds like a personal problem.