The trick is that the AcceptsOneWidget that you use for your
ActivityManager has to handle a 'null' value as *not* clearing the
display (in other words, give an AcceptsOneWidget of your own, do not
use a SimplePanel).
ActivityManager calls setWidget(null) when it stops the current
activity, and the next activity will then call setWidget with its view
when it's ready. If, when called with null, you don't do anything, the
previous activity will still be shown. And in your activities then
only call setWidget once you received the data.
The "loading" text is another story, and depends how you retrieve your
data; but metalhammer29a rightfully pointed to the NotificationMole
for the "display" part.