Input request is only displayed after levels have been loaded. All that happens after the final Fade to Black is setting the visibility of those levels to true.
The cog animation usually would only occur when some events are bound to this stage (e.g. procedural placement that needs to occur on visible levels but behind loading screen/fade to black).
Can you drop me an email [^] with some screenshots and info about your setup? I’ll try to figure out what could be wrong.