Via your video card your updates are synchroized to your monitor refresh rate.
If thats the case then it's going against my goal.
Yes, I'd recommend using your own code to sync to ~60 fps with Thread.sleep()
Ati was supposed to have fixed this issue a few months back, but I've updated my drivers twice since but still have this issue (maybe because I use the x64 drivers) but in any case there's bound to be many people around with older drivers. Very annoying issue.
So is there any way to yield the rendering thread, to give priority to the thread doing all the important work? I'm not sure if yield is the right option, but surely there is a way. Unless giving the loading thread a MAX_PRIORITY is the only way, but I've never thought this to be a good idea. Even when I tested that I saw no real increase in loading time. Perhaps its just a sacrifice needed to make in order to get a effect.
Maybe there is another way to approach this. I put the actual loading work into a new thread so that the current thread (my MenuState) would continue and do the update for the fade controller. Is my MenuState considered the same thread as the render state? What I'm getting at is maybe I can pass off the actual TransitionGameState to be invoked from the rendering thread, and then the MenuState can continue and do the work of loading. Kinda switch it around. Maybe I'm just confusing myself.
Any comments?
Just use Thread.sleep() to let the thread be idle as long as you want it to.
Okay, I'll investigate in depth a safe and effective way to control threads over the weekend. I should learn more of this stuff anyway.
Thanks guys. 
Realistically I think you have to decide what your priority is. Is it more important to have a loading progress during load that is consistent and smooth or is it more important to load faster? If the most important thing is load-time then you've got to make the appropriate sacrifices.
Agreed. To me loading is definatley important. Because a static screen to stare at, even if it has a bar that moves, just isn't as entertaining as what is being loaded. I hope to find a happy medium though.