You can turn on the loadMask by editing ext-all.js in cfide/
scripts/ajax/ext. look for loadmask:false and change it to true.
I don't normally recomend making any edits to anything in the cfide directory. Please back it up or create your own copy. Since this is something that I always want on all my grids, this works for me. Adobe should really build this in as well as some better (more obvious pageing options). I understand I could work with the ExtJS without the grid, but I need to know that anyone who works on this page can make updates without being a js expert. Thats the great thing about tags like CFGrid.