I don't see any discussion on this, but we didn't see any loading screens in the game play demos. Of course, the only doors we saw the player go through to my knowledge were the front door of their house, and the house they built.
But we saw a lot of buildings with interiors with access to the outside and vice versa. So, has Bethesda finally done away with loading screen transitions when entering buildings? Thoughts, comments? Speculation?