Directly setting the busy indicator is not possible from a navigation list. If you want this, you can file a feature request.
A dirty workaround would be to make your list using a mendix table. In each table you put a microflow button. On the microflow button you can set the loading bar. If you need it to be styled as a link, you can also set this in the properties. A big draw back of this workaround is that it is no longer saved which menu item is active. So this item no longer automatically lights up. If you also need this, you will need to have the menu table modified for every single page on which it is used and add a css class manually to that table row that should be seen as active.
You can also try this. Not sure if it's a workaround that you can apply in your particular situation, but it shows a progress bar until the page is loaded.
The page you are loading should have a Non-Persistent object in a dataview. From that NP object, you can build your page components using objects over association or using Datasource microflows.
As the main object in the dataview is an NP object, Mendix will show a progress bar/busy indicator while loading the new page. The progress bar will disappear once your page has rendered entirely.
BTW: this is a nice feature to request from Mendix. :)