From my understanding awhile back it can’t really be done through straight UMG and Blueprints. But if I remember correctly Slack actually has closer access to the engine and you should be able to make a loading screen in pure slate that will not lag / can be animated / a movie.
This was back in the early 4.4 days but I remember the reason being is UMG is locked while loading is going on but Slate being closer to the engine level it does not suffer from the locked effects. So you should be able to play a movie / have a animated loading screen done in slate.