Make sure the map you set as your “Loading Screen Level” is also present in the folder where your other levels are and assigned to a layer with Streaming Distance disabled, as well. World Composition will not allow you to load levels from other directories.
If that doesn’t resolve the issue, please get back to me with screenshots of your particular setup, I’ll do my best to help (you can email me here: https://www.unrealengine.com/marketplace/en-US/profile/).