Why is that there?

It's there due to the technical certification requirements of XBox. All games are required to become interactive after a set number of seconds. When you have a complex game with long loading times, that might be difficult. The load start screen works around that, it's simple enough to load quickly and it is interactive, i.e. "Press any key to continue". It's not useful, but it fulfills the certification requirements, all loading time that follows or might happen in the background while that screen is shown, doesn't count.

It the same reason why you see so many games have the same "You'll lose all your unsaved progress if you exit the game" screen, even in games that save so often to be a non-issue. It's a certification requirement too. There is a whole bunch of stuff like this in games (and movies) that is not there because anybody wants it, but because some contract somewhere says it has to be there or you aren't allowed to publish your game (see also the way names in movie posters never line up with the people on that poster).

PS: This has been around since at least the Xbox360s, don't know what Sony requires or how Microsoft might have updated their requirements since then.