Because map loading runs on the main thread, it blocks any other game activity until it’s completed. It’s a pain, but that’s the way it works right now.
I believe Epic has stated it’s working on a parallel async loading solution but I have no citation for that. In the meantime though, you can use level streaming (which is asynchronous) to load the new level whilst unloading the other level and play your loading screen animations. Ask every fractional second is level is loaded and when that returns true, remove the Widget from Parent.
It can work, but you’ll either have to wait for something that may or may not come, or you’ll have to rework your game for level streaming instead of level loading.