Woops, you don't seem to be using the correct extension in the address bar to get the loading screen to work.
Please make sure it has the correct extension it should have ?steamid= at the end of it and look something like this: www.yourdomain.com/loading/index.php?steamid=%s

You can use the link below which will automatically add a test steam id to see if your loading screen is configured properly

When setting your loading url please make sure you set the steam id to %s as shown in the link below