By diving in it seems you need to create a FFeedbackContext output device (i think you can treats it like interface, just add as 2nd inherence to your loading screen class):
And i think you attach output device to log system by this:
Engine should send via your output device any processes that it tracks using FSlowTask and FScopedSlowTask, you need to figure out if engine outputs anything during map loading, i think it should. If not then you would need to modify engine to implement this