Loading Screen manager script in Loading scene (last in build settings), this scene will be called when you do SendMessage LoadSceneNum.
Start scene (index 0), empty with black screen and one game object:
Load Start Process script with FSM and SendMessage action.
There you set which scene to load, it will then run that Loading scene which loads your desired one.
Later you can call the loading from any scene with same logic, have that Loading screen script with FSM.
Only thing is you set the index number of your Loading scene in the line 40, like you did.
Hope this makes sense