Firstly, there is
https://www.unrealengine.com/marketplace/en-US/product/async-loading-screen
You don’t have to use streaming, you can also use level instances. It’s the difference between ‘load streaming level’ and ‘load level instance’.
But, you do need to be able to load this stuff into something, and that is ( drum roll ) basically your persistent level 
In your case, you can have a totally separate level and game mode for the menu, then use ‘open level’ to open your persistent, and then from there, use streaming or instances to load the world. This gives you the ability to show a loading screen.
However, streaming is not compatible with WP, so you still have level instances, or just the inherent loading that comes with WP ( and hide it behind a widget ). Another option is using async load
