In my case I don't use loading panel for AJAX requests. I use it as loading image animation. From client code I update img->src and show loading panel as it is described here:
The only difference that I use it out ajax request.
After image is loaded (onload event) I hide panel.
It is displayed correctly if InitialDelayTime is set to 0. And doesn't being displayed at all if InitialDelayTime is not 0.
Regarding my investigation it happens by design.
Please confirm that I'm right.
PS: if you know more rational way to show loading animation while getting big images, please share it here :)