By default, Granblue Fantasy: Relink requires you to manually control when to close a loading screen. If you want this process automated, then you can check out this guide at Seeking Tech to see how you can properly do so.
Method #1:
For the first method, wait until you get a loading screen. On the bottom left corner, you should see the button layout to Auto Skip.
If you are playing with a DualShock 4 or DualSense controller, for example, then you need to press the Options button.
By doing so, all future loading screen should automatically be skipped.
Method #2:
For the second method, head to open the Main Menu, select System and then Game Options. From there, go to Gameplay and then move the cursor down to Loading Screen Skip. It should show the following description:
Allow the loading screen to close automatically or manually confirm to close.
Make sure that the Loading Screen Skip setting is set to On.