Your preview screen could be used as a loading screen as well but it should be around this size: 600x800 or something like this because instead it would have too low quality for a real loading screen.
To create a loading screen you need the warcraft 3 model editor here is a link where you can download it:
http://home.magosx.com/index.php?topic=6.0.
Here is also a link for a youtube tutorial video about how to create a loading screen with the model editor:
http://www.youtube.com/watch?v=vfz3RG0PLUA.
I would make something like an ultimate spell for every hero. Just some examples:
For
Murzan:
Pontus Shield: Pontus running or floating around him
makes him immortal for a duration of time.
For
DrekThar:
Ghost (soul) army
For
Thrall: I would make something like an update of his last spell.
An
overview of the whole map for some time.
And finally for
Marthog:
Totem Power: Increases his attack damage to an enormous level