Good topic.
Yeah, shaders are a big deal. Also, the game worlds are getting larger and larger. If the game wants to keep track of every sweet roll you've picked up, so it isn't there again when you come back, it has to put that in the save file and then deal with it when loading the save game, too.
All in all, though, I don't think loading times are getting worse. Some games take longer than others, but the average time it takes these days seems about the same as what it was back when we all had spinning platter hard drives. (I think the days when we had nothing but floppy disks were faster, but it's difficult to remember.)
I suspect that, as our storage systems get faster and other hardware improves, developers are using it for other things. When some new breakthrough happens, devs don't say "Great, now our game will load in 2 seconds instead of 20!," they say "Great, now we can do all this cool stuff with the extra 18 seconds we have to load the game!"