This video builds off of the project started in Scripting Sublevel Loading 9 • Game Level Design: Unreal: Blueprint... ).
One way to understand loading screens in Unreal is to use widgets. By showing a widget that takes up the whole screen, other activities, such as sublevel loading, can take place in the background. This video uses the Load Stream Level node to create a sequence of functionality that complete their tasks (loading sublevels) before removing a widget from the screen.
By combining widgets and input modes, all of the loading can be done and then the "loading screen" removed like any other widget.