No. ENIGMA games usually load a lot faster than GM, so in most cases it wouldn't be needed anyway. But if you do want it then you will have to create your own - this implies external resources as well though.
I played around with the idea on how to make good and extensible loading screen, but couldn't work out some details. Everything ENIGMA renders is trough the graphics system (like OpenGL usually), this means we must have unpacked and sent to GPU at least some part of the resources (the loading screen texture and font texture) and set up the rendering context. This would mean we need to have an additional flag for resources to be loaded before the loading screen and the rest to be loaded after. And I wanted people to be able to execute their own code during the loading (like checking for updates via http or initialize some slow to startup code) - this would mean we need to execute user code, but in a limited fashion, as we don't have all of the resources loaded and most functions would break.