Hi,
That's simply up to you to put a texture on screen. Either using GUI or a Plane with a texture. This it no different then when you are in your game or in a menu.
To catch when a level is finally loaded ( so you can remove that texture), simply watch for the system event "LEVEL LOADED".
so when you load a level, call your load screen texture game object to show that texture, and it will itself watch for "LEVEL LOADED" to hide it.
Does that make sense?
Bye,
Jean