The 'loadMsg' property is defined in datagrid. The 'loading' and 'loaded' methods can be used to display or hide the loading message window. You can combine them together in runtime to do what you want.
$('#dg').datagrid('options').loadMsg = 'other message'; // change to other message
$('#dg').datagrid('loading'); // display loading message
$('#dg').datagrid('loaded'); // hide loading message