Loading screens exist as a feedback mechanism to let the player know that the game is loading things and hasn't simply frozen or otherwise crashed. If your loading times are basically non-existent, there's no reason to have a loading screen anywhere, especially if your app doesn't actually need them. People complain a lot about long loading times (See Super Smash Bros. Brawl for a good example), so I think it would be detrimental to artificially cause that.
A much better system, assuming you can't create something seamless with a loading time of 0, is to have a Fade To Black in place. Say you're playing a game, and you have a nice looking menu with a slightly animated background, what looks best to you:
1) No transition - You select "New Game", the animated background freezes for about half a second, then the game starts.
2) Loading Screen - You select "New Game", the screen changes to a loading screen that takes a few seconds to "Load", then the game starts.
3) Fade Transition - You select "New Game", the screen fades to black, hiding everything from view. The screen then fades back in, and when it does, the game has already loaded and everything is running smoothly.
The fade transition works because, unlike the other options, it doesn't break the player's Immersion, which is very important, but it can also be adjusted to fit slightly longer load times simply with a slightly slower / longer fade.
I'm sure there are a million ways in which you can achieve a seemingly seamless transition, but I find that the Fade To Black is simple and easy to implement whilst still being very effective.