You can also show a form as spash screen in your IExtensionApplication.Initialze().
The reason one want to show Splash screen is when there is a major custom add-ins being loaded into AutoCAD. Sometimes, the add-in suite need to do some initialization, which may take a bit time. Showing splash screen can be used as an indication that the custon apps are loading.
Of course, with this way the splash screen can only be shown when the DLL that has IExtensionApplication implemented is loaded. That is, if your custom app is loaded on Acad startup (by demanding load or by using acad.lsp...), or the splash screen is shown when the DLL is manually loaded (NETLOAD, commandline, menu/toolbar click...). IMO, to associate the splash screen with the initializing/loading your custom apps makes a bit more sense.