Image assets are usually the heaviest items in an animation. When I refer to "animation data and Hype Runtime" I am just referring to the *_hype_generated_script.js and the HYPE-NNN.thin.min.js files. Resources other than this get loaded/preloaded by the Hype runtime.
Preloading ensures that images will be shown when needed. If preloading didn't exist, you might be showing an animation of an image that hasn't been downloaded yet -- in other words, not showing it!
Preloading just isn't fine-grained at the moment... it is for the entire document or nothing.
Hype does have a basic "loading" screen that option in the Document Inspector and there are ways to make your own. I've seen some users just split their scenes into separate .html documents and rely upon showing this in between scenes.