For this matter, Emy works exactly the same as iUI.
A link in a Li element with a selected="progress" attribute shows up the loading GIF. This attribute is set by internal Ajax mechanism showByHref.
This is the only purpose and default use of this loading gif. If you want to use it on a button or in any other case, you'll have yo code it yourself. That's the KISS philosophy of iUI/Emy.
Doing this is pretty damn simple actually, just add a class to your button (emy.addClass()), create this class in CSS to set the text color to rgba(0,0,0,0) and put the GIF as a background. Remove the class when done.
You're done :)