Our UE3 hack approach has always been the following, and I assume this still works:
Use Open Level only, never stream in the levels unless you really need streaming (but then you wouldn’t need a loading screen anyway)
Right before calling Open Level, draw a screen covering loading image on the screen. Then right after execute Open Level. This would freeze the screen to the last thing that was on it (the loading screen).
When the next level opens, you make that too render the loading screen on start up, so the loading seamlessly transitions into that one. Plus you add that Press A to Continue text on top.
When you then press A, the screen + text disappears + you gain input control for your character and it appears as if you’ve begin playing.
To work around the fact that the sound would be playing as soon as the level is loaded you can use Sound Modes or such to mute that while you haven’t yet pressed A. You can execute sound modes on specific sound classes to ensure they don’t mute the sound of pressing the ready button for example.
That would be my first plan of attack until a proper loading screen system exists in code.