Why there is a delay to load resources for android and webgl?

I'm making a game targeting android and webgl, and I'm actually confused about how Resources work. In the documentation they say: "thus all assets in the "Resources" folders will be included in a build.", witch leads me to believe that all resources are loaded before the game starts. But then why when I use Resources.Load() load a Sprite on a webgl build for example, and then immediately instantiate an object with this Sprite, there is a delay for the sprite to appear? (and during this delay the game stays frozen). I can only conclude they are being loaded in that moment, so what do they mean in the documentation? Also, is there any difference for Resources behavior from android to webgl?