Alright, since I've done this myself, I'll give a little insight. I believe most of this is a trick done with huds and teleportation. I was doing this in my game before he released this footage. You just call on huds in the right manner and move the player into the next room during a quick black screen.
If you were to use this in combination with the level jumping system, then you have a nice little system going. Loading isn't necessarily bad but even with pauses to the gameplay, you add a sort of style to your games very reminiscent of 90's AAA titles.
The Birds - A narrated adventure.
Diablo Chateau