Hmm, to me it seems rather un-fitting to use a video in a loading screen, UE4 Unreal Motion Graphics does have support for using images, spacers and whatnot and even already has a ready to use throbber.
I would suggest reading https://docs.unrealengine.com/latest/INT/Engine/UMG/UserGuide/WidgetTypeReference/index.html or why not jump into the engine, create a “User Interface” -> “Widget Blueprint” and start testing it, note though that UMG is very young and as you create more complex systems some support might be missing.