The Action RPG project has a functional loading screen, but the loading screens do not work unless you play the game as a standalone. The video explaining the asynchronous loading screens does go through all the necessary steps, rather quickly, but taking in some of the snapshots should give you an idea how it has been built. The very same code recides within the build!
I would first suggest making your own module, which does not need to be more than the bare minimum; an empty module you can implement C++ classes to. If one tutorial does not work out for you, try to fill in the gaps with another. Just do it on a fresh project so you can iterate quickly until you understand how to implement a module. While use of modules is not necessary for loading screens, it is still very useful concept to be aware of, and it is what the Action RPG project uses.
After you’re done with that, you may want to take a look at the blueprint nodes made in the Action RPG project that trigger the loading screen. Following along the nodes into their C++ implementations, and from there on out all the way to the top, should give you an idea of how the relationships between different parts of the engine work at that point.
Then you can pretty much start porting the ARPG loading screen to your own project.