Loading screen?

 // Print on a guiText how much has been streamed "Level1"
     // When finished streaming, print "Level1 has been fully streamed!"
     var percentageLoaded : float = 0;
 
     function Update() {
         if(Application.GetStreamProgressForLevel("Level1") == 1) {
             guiText.text = "Level 1 has been fully streamed!";
         } else {
             percentageLoaded = Application.GetStreamProgressForLevel("Level1") * 100;
             guiText.text = percentageLoaded.ToString();
         }
     }

This is from unity script reference, if you put a prefab with a picture instead of guitext.text, you will get what you want

and for the last question you asked "i guess nothing is easy in unity" but nothing that cannot be done

If you have a loading scene you can make two things (sure more i just know these).

First would be: make an extra scene where you add e.g a plane or a cube with an orthographic camera on it. Make the camera in front of the cube with the added picture as a texture. Same thing with the plane. If you want to load more pictures make more planes or make a texture with all of them (i guess the first will be easier).

Second: Make under GameObject -> Create Other -> Gui texture a new Texture and add you Picture to it. Set the size of the picture (be careful with the size). Let the Texture appear when you want to "load" the new scene. Best thing would be to disable all ingame sounds, then the use thinks he is in a loading scene (also lock the keys).

It's up to you what you choose. The first method would be better cause thing about what happens e.g. in a rpg. If you teleport to another position you should disappear. With the second variant your character would still stand on the same position and everybody could see him (if you dont disable everything with the server)

Take care

Tuc