Plus you're gonna be targeting a much wider userbase for the time being by not targeting SSDs.
So then yeah, sticking with a load screen _might_ be easiest. But if the tooling supports it, it might be even easier to just not worry about loading and having to make a loading screen, and let the engine handle that stuff for you. UE5 at least seems to be going in that direction.
SD cards also have the drawback of having pretty limited write cycles compared to any SSD.
IOPS is important.
For random 4kb blocks / second
SD Card => 2.1 [1]
SSD => ~200 [2]
[1] https://www.cameramemoryspeed.com/reviews/micro-sd-cards/
[2] https://en.wikipedia.org/wiki/IOPS
And that's comparing good SD cards to good SSDs.
As I was saying, bad SD cards can be REALLY bad. The difference can be over 1000x. Anything that depends on being able to read ANY small piece of information regularly in a reasonable amount of time from disk would simply not be playable.
If this is Debian/Arch OS, I'd assume they are writing to a system folder.
If the game is on the SD Card - it will be read from the SD card.
Sure, if the game needs to randomly write data to disk (I assume this is much rarer) - then it would write to the system SSD as usual.
It's the same way I wouldn't say that film is optimized for storing lots of data with horrible access cheaply. It just happens to be what it is.