How do I remove roblox's loading screen and put a custom one when teleporting?

You can most certainly do this in roblox studio, you don't need to set any properties of teleport service or ReplicatedFirst. In fact its all done with Teleport service. You can teleport any player through client or server, (which I like about it. No hassle of making Remote events). For an example I set up a basic script that teleport you to another game with a custom loading screen, while you might thinks the loading screen is a decal its actually a GUI.

So here is my example

local plr = game:GetService("Players").LocalPlayer -- Player to teleport(usually defined as an arguement or parameter)
local PlaceId = 1330501612 --- PLace to teleport the player

script.Parent.TextButton.MouseButton1Click:connect(function()
    local TeleportScreen = game:GetService("TeleportService"):SetTeleportGui(script.Parent.Parent)
    game:GetService("TeleportService"):Teleport(PlaceId,plr,nil,TeleportScreen)
end)

This was a local script positioned inside the frame of a gui, again you can use this on client or server. You can get the player instance via a parameter or arguement but in this case I just used LocalPlayer.

ALSO CHNAGE THE PLACE ID THATS WHERE IT TELEPORTS YOU (I set it to a random place)

Enjoy!