There are loading screens when you go from worlds to the tower or tower to worlds and even to the crucible. What I believe they are referring to is when your on a world or area, there is not a loading screen when going to different areas of the map. So for example if you go from the moth yard to sky watch or moth yard to forgotten shores, you go right there and don't have to wait for the area to load. Does that help? Perhaps I am wrong also.