Loading screens exist because games must move massive amounts of data from slow storage into fast memory before gameplay can begin. Here's the breakdown:
Even with NVMe and DirectStorage, initial bootstrap (shaders, world init, network) and major transitions (new zone, match start) require synchronous work that can't be fully hidden. Loading screens also serve UX: feedback, hints, lore, branding.
TL;DR: Games load because storage ≠ memory speed, assets are huge/compressed, and engines must initialize complex systems before frame 1.