Well, there are a few possibilities. It really depends on the game.
A few exemples can be Dragon Ball Z Budokai Tenkaishi 3 where you could mash a button to do an action while the game was loading. Like having Goku eat loads of food, Vegeta doing pushups, or Gohan extract excalibur from the ground.
You could also have the player see a little animated loading, like the one present in the simpson game, where you would have Itchy and Scratchy hitting each other all over the screen. Or even have some hidden things that would reveal things about the game. Let's say, each time a level loaded, you had a really tiny sublevel, where you would have to move your mouse through a pattern before the loading ends so it can reach a key, some gold, or some easter egg and/or information about the game.
The real question, is not "why do you need that?" but more "why can't you have that". The goal of softwares like Construct relies on making something that was first a bit hard, becoming simple, while keeping its freedom. So for every tiny little thing that can be done using code, you should be able to do the same using Construct. Plus Construct is waaay past the state where there was still big features left to have done. The only thing that has been done through the Construct releases are mostly bugfixes, fixing compatibility issues or changing some features. So adding this kind of features, the ones that has been requested by the community is the only thing left Construct may want to add.
oosyrag Yeah, I know, I'll try to have the object created in the loading screen at 1 opacity, like backendfreak told me and see how it went.