The Mendix application loading icon and the browser loading bar both indicate some form of network activity for the page. Of the two, the browser loading bar is, generally, the more accurate indicator.
The application loading icon is triggered when the Mendix web client is communicating with the business server (or XAS or application server, whichever you prefer). That is, when it is performing actions such as retrieving forms or configuration, when it is executing a Microflow, when it is fetching objects, sending changes, etc.
The Mendix web client knows when to display or hide the loading icon because it keeps track of the network (XMLHTTP) requests it has outstanding.
If you are seeing the loading bar still running while the loading icon is gone it means the browser has a problem loading an asset (or you have encountered a strange bug in browser behaviour, but don't work from that assumption straight-away).
For example, an image can be set for a button icon. This image is supposed to come from a host that takes a long time to find via DNS resolution or has a huge latency (it is "far away" in network terms or is simply overloaded and takes a long time to respond).
In this case, the image will never appear because the browser is trying to load it, but it does not affect the operation of the application.
If you want to track down what is going wrong I'd suggest putting a proxy between the browser and the application and analyzing the logs.
On loading status (generally speaking),
No loading icon but an in-progress loading bar means a problem with assets (this seems to be your situation)
A loading icon but no loading bar means a client bug (rare, but they happen - please report this to Mendix ASAP).
Hope this helps.
Thanks for the extensive explanation but I'm afraid I'm gonna need some help with the 'putting a proxy between the browser and the application and analyzing the logs' bit. The blue loading beam takes up forever to stop loading (it's been loading for 5 minutes now and still not finished).
With Firefox I use firebug for these kind of analyses but this obviously won't work in IE 8. I've downloaded some debug tools for IE 8 but so far they either are unsufficient or make the browser crash (even more than it already does).
I do think however that there is something 'project specific' about this problem; the blue loading beam takes forever to stop loading. I've never seen this behaviour in other projects however so there must be something about these large, containing 12 tabpages, loaded with difficult Xpath constraint screens that IE8 has some trouble with...