The plugin should be in the plugins folder. You have to open the compressed file and extract it to the plugins folder before compiling the project. I’m downloading the 4.20 version of the project to make sure it’s in there.
Edit: The LoadingScreen plugin for 4.20 is located in /CardinalMenu_Project_v180808_420/Plugins/LoadingScreen_08-04-2018_420.zip
You can find it at Cardinal Menu System by Metahusk | Steam Server Browser, Credits, and Game Settings | MetahuskMetahusk