Yes I fully agree. This is one of the negative side effects of ajax... you never know if something is happening unless there's a loading image, but then you have to know there is one, go and find it and watch it.
I'd like to see some sort of floating loading image, possibly attached to the mouse cursor, or maybe even just a change of cursor during the load, just like on the OS desktop.
I suggest adding something like this as an enhancement suggestion at support.dotnetnuke.com in the public section.
Rob