IIRC it does more than just show a loading screen: it also suspends rendering of that entire part of the app until it's ready. So if you're loading many (nested) things, it delays the rendering of the whole page instead of causing multiple renders in a row that can end up feeling rather laggy to the user, especially on slower devices, and particularly when you have a page with a ton of dynamic content.
I think it can also deal with the loading of the components themselves, if the whole page and all its subcomponents aren't already available/bundled.
But like any React components, there's nothing preventing you from just making your own similar one for your specific use case. They're not magic, they use the same APIs as you do.
I've never used Suspense personally but I also haven't used React in a couple years.