The text that is displayed is actually a textbox, though you wouldn't know it by looking at it. So, you can't inject an image. What you can do is give it a background-image:
var combo = $find("<%= MyCombo.ClientID %>");
combo.get_inputDomElement().style.backgroundImage = "url(loading.gif)";
It may be better to create a loading class, so you can further define the styles:
.loading .rcbInput
{
background-image: url(loading.gif);
background-repeat: no-repeat;
padding-left: 20px;
}
Then apply it like so:
var combo = $find("<%= MyCombo.ClientID %>");
$telerik.$(combo.get_element()).addClass("loading");
Similarly remove the class once loaded:
var combo = $find("<%= MyCombo.ClientID %>");
$telerik.$(combo.get_element()).removeClass("loading");