The Preview files are created for all files that are imported into Lightroom. The files by default are stored in the Lightroom sub-folder which by default is within your My Pictures> Lightroom folder and has an extension .Previews.lrdata see the screen capture.
These previews are used by Lightroom when you are working in the Library Module.
When you are working in the Develop Module, Lightroom utilizes the files in the Camera Raw Cache since it re-renders from Original files every time you make a change and the files in the cache assist with this process. That when you see the "Loading message".