Screenshots are the bread and butter of heatmaps. In order to be able to show you the screen with the heatmaps, we take screenshots of the users based on app version and model device. We understand this is sensible data, so we encrypt the images in the server for security, and restrict the access only to yourself, so you have control about what happens with them, it's yours.
When taking screenshots, we check that the screenshot (by app version, and device model) hasn't been uploaded yet, and discard it if it was, or upload it otherwise, pretty simple right?
Note: If you are programatically showing a loading screen inside a screen as a way of loading data, it's possible for you to see a screenshot of your loading screen.
There's nothing wrong on designing your apps this way but it will become harder for you to maintain, and we recommend against it.
Having an independent screen that does Loading is a better way to go, as it isolates responsibilities from your screens, helps transitioning, and secures a better experience while loading data.