We are able to redirect to a custom loading gif if your flow is embedded as an iframe into your website.
Every flow has an embedded link, that you can find in the "Integrate" tab:
To ensure that your flow launches with a custom gif of your choice, simply add the below code to the end of the link:
Replace the [LINK-TO-YOUR-LOADING-GIF-HERE] with the link of your own error page.
The whole code should look like the below: