During my development I was always troubled that the loading icon plug-in worked fine with before page submit events but never worked when you redirected the page immediately. For example if you used code like this:
<a href="f?p=&APP_ID.:3:&SESSION.::NO::P2_EXAMPLE_ID:#EXAMPLE_ID#"> <img alt="" src="/i/menu/pencil16x16.gif"> </a>No loading icon would appear. As a manual solution use this code example:
/* Template: */ <img src="#IMAGE_PREFIX#magnifying_glass_white_bg.gif" alt="" title="Show sample data" style="cursor:pointer;" onclick=" fnc_startLoadIcon('...loading...','/i/my_loading_icon.gif',32,32,8,'#F26300',6); window.location='f?p=&APP_ID.:1:&SESSION.::::P2_EXAMPLE_ID:#EXAMPLE_ID#'; return false;">I'm thinking to integrate this as an option to the Loading Icon plug-in. I would capture the href element take the href source and transform it so that the loading icon would appear before the page reloads.