When the data source of your data grid 2 is a nanoflow, you can do this by creating a structure like the following image:
You surround the data list you want to retrieve by a show progress & hide progress action.
If you are using a microflow, your best bet would be to convert it to a nanoflow if possible and do the above, and otherwise use it as a submicroflow, as is illustrated in the image above this one.
Finally, if you retrieve your data before navigating to the page (during your navigation nanoflow/microflow) you can also apply the same logic there (and surround your logic with the show & hide progress actions).
I hope this answers your question!
I ended up changing the DataGrid widget to add a loading spinner when the data is loading. I sent a pull request to Mendix as well, so maybe they consider adding this to the widget.
I hope so because otherwise, I am going to need to sync their branch all the time :-)