Loading panel for entire site.

Rick, to expand on Mike's answer:

• There is no specific feature offering that sort of mechanism
• That surely can be done via Javascript, and perhaps even is implemented in some js library.
• If you found an example of doing that, then as Mike notes, you could try to implement the rendering of that html/js on every page using Application.cfc or Application.cfm, which work similarly to the old global.asa or global.asax of asp and asp.net, if you'd ever used those. 
• And as with those, sometimes you come to find that you don't REALLY want to implement such a ui element on EVERY page, so then you could tweak the code to handle special cases, if that seemed to make sense
• BTW, many are unaware that Cf bundles jquery and ext/js (albeit rather dated and perhaps minimal versions), so you could try to leverage such a feature as those may offer.
• That said, note that in cf2021, with its new modular nature, if someone implemented only the CORE engine, that might NOT include those js libraries. (I've not yet studied what modules introduce what libraries.) You could easily as modules using the new CF admin page or cfpm CLI tool as offered in cf2021. 
• Finally, of course one could implement their OWN js library. Just beware that if you do that, and it's either of those above, you want to be careful causing a conflict with the version you implement and the one cf may be relying upon. To be clear, most cfml code does NOT leverage those built in js libraries, let alone the cfml tags/features that leverage them.
• Indeed, there's a vocal subset of the cf community that actively discourages use of any Adobe-provided cfml-based js ui features, arguing instead that folks (wanting to integrate any js libraries or leverage feature they offer) should ONLY ever leverage their own implementation of such js libraries and NEVER use or rely upon those provided by cf. For those with the authority to command that in their app or server, there are clearly benefits to that approach.
• And some such ui elements have been removed from cf (being based on the still older and no longer updated yahoo ui or yui project). See the cf docs on deprecated features for how to add those back, if "needed". 
• Many people's needs for js functionality in their web apps may be very modest, even non-existent. Perhaps theirs is an very old code base for a very simple app, where uses have little in the way of ui expectations. But perhaps they may want to implement only this one sort of thing (like your loading page feature). As you can see, the choices are theirs to make.

But again, bottom line, there's no feature to do this loading page. You may want to look at the cfprogressbar, though weighing that in the context of all in share above.

Let us know how you may go. Or maybe others will have still more to offer, especially specific solutions for you.