First Initial load screen for a packaged .exe file. Is it possible?

Then make a blank level which loads your level as a Streaming Level, then plays a video on some UI on screen, then show the streaming level when it has loaded and hide the video UI.

You wont be able to make an actual loading bar without C++ (you dont need to know how to code, just how to compile a plugin, it will take a couple hours to learn the process from scratch), you could make a pretend one if you wanted but you could only guess the loading time for each machine you run it on