The movieplayer, which the shooter loading screen uses, doesn’t run in Play in editor.
If you launch from editor to standalone game (from the modes selection under the play button) the loading screen will work.
If you are trying to actually get that kind of loading screen into your own game, they show the loading screen like so
IShooterGameLoadingScreenModule* LoadingScreenModule = FModuleManager::LoadModulePtr<IShooterGameLoadingScreenModule>("ShooterGameLoadingScreen");
if( LoadingScreenModule != NULL )
{
LoadingScreenModule->StartInGameLoadingScreen();
}
void UShooterGameInstance::ShowLoadingScreen() has some comments on how this gets a bit tricky due to blocking calls and seamless travel.
I have just been copying that process, having a slate widget and use the movie player, as well as creating a viewport widget if the player is around.