There certainly is is a "loading.gif" displaying at http://www.jacklmoore.com/colorbox/example1/
Please clear your cache. Thedemo images are very small so they load very quickly.
My site has some hi res photos in some areas and take ea few seconds too load on a 20mb connection.
From my research the activity monitor represented by the orange "laoding.gif" is the default display, and ZP 1.4.4 is not showing it.
The use of a an activity monitor is the default appearance when a user has to wait for content to laod on the internet.
"Btw, I think that generally everyone who does not use the net since today will get the idea that something is loading hopefully...

" Does not make sense.....I need to roll back 1.4.4