Should the sound turn off or should it go down in some way? I play a lot of Hearthstone and Hearthstone doesn't do that.
I'd prefer it to turn off, most games do that. Usually the sound amongst other things, except networking, which needs to run even when you're tabbed is in a loop that gets disabled while you're tabbed.
What do you mean "loader bar"?
I believe it was first introdced in Windows 7, there's a progress bar on the icon of your application in the taskbar, usually at the bottom of the screen. Games such as Company of Heroes 2 make great use of this, allowing you to tab out, while the MatchMaking queue runs, once a game has been found and Coh2 starts loading up the map, the progress bar starts showing, in sync with the load progress.
Obviously Offworld doesn't need as many resources so a countdown timer in the lobby 5-10 seconds (?) and a sound that plays once so that you can hear it while you're alt-tabed - would be perfect.