I believe MS is working on integrating this directly into the app. In the meantime, here is the workaround that I've found works pretty well:
I've also found this new feature and have applied it to a couple of slow loading screens in my App. I can't see what the difference between the Data and Controls setting is though. At least it is more prominent than the 'marching ants' at the top of the screen.
Go to the Screen's advanced settings and put LoadingSpinner.Data or LoadingSpinner.Controls in the Loading Spinner property.
I'm still none the wiser to the difference though.
It doesn't last long, maybe you are just missing it? It seems to stop spinning before the 'marching ants' and the loading of data does too. I'm not 100% sure it's fully functional yet.
Honestly, I have found my workaround to work better than the generic one being provided and still use it. With the work around, you can surround exactly which refresh/collects you want to show a loading screen for. If you don't want to include something, you would just put it outside the two update contexts. Everything runs in order.