I see that modal when browsing the docs (http://jquerymobile.com/demos/1.0/) in Chrome on a broadband connection ("I canna go any faster captain!"). The presence of that modal made me question other design decisions (yes, I get it, you have a sleek pop-up experience... now why are you showing it to me on every page load?).
IMO, with ajax page loads you need to show the user something that indicates their click was received. All browsers have a spinner or message somewhere to indicate "they're working" on pulling down the next page of content. If you take that visual clue away from users when loading content via ajax, what you'll end up with is frustrated users who click multiple times on the link since they think it's not working.
Whether the big obnoxious "loading" popup with ugly spinner is the right design choice is another matter, but fortunately the styling and location of that is easily changed.
Sure, we can tweak it to have a small transparent spinner in the lower right... but what other changes are needed too? I want a framework where the authors already fixed these obvious things.