I'll have to make a list, but if I'm in a Klingon sector, I should be seeing Klingon only loading screens, at least from my point of view. If it's the neutral zone, or federation space, well I would understand a mix. Qo'noS should definitely have Klingon only loading screens. It's just a small bit of immersion. I guess it isn't a big deal, just a thought.
And In the missions menu, there are some blue starfleet insignia, which should probably be turned to red.
EDIT: When you first log into your character, it should be a Klingon loading screen, and a red Klingon insignia, not a Starfleet one.