As far as I know, you will have to modify the widget ProgressBar.mpk
The loader is done completely through css, so you can customize it by applying your own css rules.
The easiest method is to configure the loader to show on a button press, then putting a breakpoint on the underlying microflow. Then the loader should stay visible and you can inspect the element in your browser to see what css is being applied. You can find plenty of progress circles using css online which you can transform for use in your Mendix app.
Alternatively, I see there is also a Progress circle widget available in the Marketplace which might suit your needs. I have no experience with this widget, though, so you'll have to check to see if that works for you.