Yes for sure you can have a wait indicator. If you created your templated control with Blend by using the 'Copy' function, you should get it by default. If you created your control from scratch or from VS, you can use (or adapt) this MapLayerTemplate which is the default:
<esri:Legend.MapLayerTemplate>
<DataTemplate>
<StackPanel>
<StackPanel.Resources>
<!-- Busy indicator displayed while the legend is requested-->
<DataTemplate x:Key="BusyIndicatorTemplate">
<Grid x:Name="BusyIndicator" Background="Transparent" Margin="3,0"
HorizontalAlignment="Left" VerticalAlignment="Center" RenderTransformOrigin="0.5,0.5" >
<Grid.Triggers>
<EventTrigger RoutedEvent="Grid.Loaded">
<EventTrigger.Actions>
<BeginStoryboard>
<Storyboard>
<DoubleAnimation Duration="0:0:1" RepeatBehavior="Forever" To="360" Storyboard.TargetName="BusyIndicator"
Storyboard.TargetProperty="(UIElement.RenderTransform).(RotateTransform.Angle)" />
</Storyboard>
</BeginStoryboard>
</EventTrigger.Actions>
</EventTrigger>
</Grid.Triggers>
<Grid.RenderTransform>
<RotateTransform />
</Grid.RenderTransform>
<Ellipse Fill="#1E525252" Margin="11,2,11,20" Width="2" Height="2"/>
<Ellipse Fill="#3F525252" Height="3" Width="3" VerticalAlignment="Top" HorizontalAlignment="Right" Margin="0,4,5,0" />
<Ellipse Fill="#7F525252" Width="4" HorizontalAlignment="Right" Height="4" VerticalAlignment="Top" Margin="0,9,1,0" />
<Ellipse Fill="#BF525252" Height="5" Width="5" VerticalAlignment="Bottom" Margin="0,0,3,3" HorizontalAlignment="Right" />
<Ellipse Fill="#FF525252" Height="6" Width="6" VerticalAlignment="Bottom" Margin="9,0" />
</Grid>
</DataTemplate>
</StackPanel.Resources>
<ToolTipService.ToolTip>
<StackPanel MaxWidth="400">
<TextBlock FontWeight="Bold" Text="{Binding Layer.CopyrightText}" TextWrapping="Wrap" />
<TextBlock Text="{Binding Description}" TextWrapping="Wrap" />
<TextBlock Text="{Binding MinimumResolution, StringFormat='Minimum Resolution : {0:F6}'}" />
<TextBlock Text="{Binding MaximumResolution, StringFormat='Maximum Resolution : {0:F6}'}" />
</StackPanel>
</ToolTipService.ToolTip>
<StackPanel Orientation="Horizontal">
<CheckBox IsChecked="{Binding IsEnabled, Mode=TwoWay}" IsEnabled="{Binding IsInScaleRange}" />
<!--Opacity slider-->
<Slider Margin="0,0,5,0" Minimum="0" Maximum="1" Width="30" Height="18"
Value="{Binding Layer.Opacity, Mode=TwoWay}" />
<!--Busy indicator-->
<ContentControl ContentTemplate="{StaticResource BusyIndicatorTemplate}"
Visibility="{Binding BusyIndicatorVisibility}"/>
<TextBlock Text="{Binding Label}" FontWeight="Bold" VerticalAlignment="Center" />
</StackPanel>
</StackPanel>
</DataTemplate>
</esri:Legend.MapLayerTemplate>
