Dynamically creating game level

Is it possible using C++ create dynamically new game level using some template (with basic things like a Light Source and Sky Sphere), spawn different level actors on it, building lights and after that load that level to play? And also during this operation showing some “Loading screen” when my game level is in preparing process?
If Yes, how can I do that?

Everything you’ve mentioned is doable except building lights at runtime. I’ve looked into this myself and the code used to build the lighting is actually only in the Editor and not in the Runtime engine library.

You’ll have to write your own lightmapper.

Can you explain more deeply, what do you mean? How can I write my own “lightmapper”

There’s a complicated system behind “Build Lighting” called Lightmass (which is proprietary to Epic I believe). Lightmass is build only into the Editor and not into a packaged game. You’ll need to write your own “Lightmass” if you want Runtime light mapping. See this resource that simplifies the light mapping concept: Lightmap - Wikipedia.