From what I understand lore-wise teleportation is meant to be perceived by the teleporting person as virtually instantaneous, meaning it's literally, "blink and you're there". So a loading screen of travelling through the aether would be rather superfluous. I do miss the airship arrival and departure scenes when travelling on the airship to and from Ishgard and the Gold Saucer - sadly there's been a little too much streamlining of zone transitions as the game has progressed at the expense of immersion (I hate using that word but it's the most fitting term).

Ah well, I guess it's one of those situations where you can't have your cake and eat it too sadly.